Gurus and beliefs manipulation

Elyès Jouini (1) , Clotilde Napp (2, 3)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
2 CREST - Centre de Recherche en Économie et Statistique
3 DRM - Dauphine Recherches en Management

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.

Mots clés: standard agents; gurus; Walras mechanism; riskier assets

Domaines: Economies et finances

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