Morrison, A.D. and Vulkan, N. (2004) Making money out of publicly available information. (ELSE Working Papers 103). ESRC Centre for Economic Learning and Social Evolution: London, UK.
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Abstract
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.
| Type: | Working / discussion paper |
|---|---|
| Title: | Making money out of publicly available information |
| Open access status: | An open access version is available from UCL Discovery |
| Publisher version: | http://else.econ.ucl.ac.uk/newweb/papers.php |
| Language: | English |
| Keywords: | JEL classification: D82, G14. Market maker model, beliefs, information accquisition |
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