Making Money out of Publicly Available Information
It is received financial wisdom that when there is free entry by speculators, it is impossible to generate net profits on publicly available information. In this paper we study a version of the standard Kyle (85) model with endogenous information acquisition and we find that equilibria exist with free entry in which speculators make positive profits. Moreover, these equilibria are robust.
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| Length: | 14 pages |
| Date of creation: | Feb 2003 |
| Handle: | RePEc:bri:cmpowp:03/065 |
| Contact details of provider: | Postal: 2 Priory Road, Bristol, BS8 1TX Phone: 0117 33 10799 Fax: 0117 33 10705 Web page: http://www.bris.ac.uk/cmpo/ Email: More information through EDIRC
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References listed on IDEAS
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- Foster, F Douglas & Viswanathan, S, 1993. "The Effect of Public Information and Competition on Trading Volume and Price Volatility," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 23-56.
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