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.
Domaines
Economies et finances
Origine : Fichiers produits par l'(les) auteur(s)
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