@techreport{NBERw4315,
 title = "Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing",
 author = "James Dow and Gary Gorton",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "4315",
 year = "1993",
 month = "April",
 URL = "http://www.nber.org/papers/w4315",
 abstract = {This paper presents a simple general equilibrium model of asset pricing in which profitable informed trading can occur without any "noise" added to the model. It shows that models of profitable informed trading must restrict the portfolio choices of uninformed traders: in particular, they cannot buy the market portfolio. In this model, profitable informed trading lowers the welfare of all agents when compared across steady states.},
}