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Pré-Publication, Document De Travail Année : 2010

Gurus and beliefs manipulation

Résumé

We analyze a model with two types of agents: standard agents and gurus, i.e. agents who have the ability to influence the other investors. Gurus announce their beliefs and act accordingly. Each investor has a preferred guru and follows his recommendations. Prices are determined through a classical Walras mechanism. Gurus are strategic: they take into account the impact of their announced beliefs on the other agents, hence on prices. At the Nash equilibrium, this leads to beliefs heterogeneity, to a positive correlation between optimism and risk aversion and to higher risk premia. The impact is stronger on the riskier assets.
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Dates et versions

halshs-00555609 , version 1 (14-01-2011)

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  • HAL Id : halshs-00555609 , version 1

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Elyès Jouini, Clotilde Napp. Gurus and beliefs manipulation. 2010. ⟨halshs-00555609⟩
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