Gurus and beliefs manipulation
AbstractWe 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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Date of creation: 02 Dec 2010
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standard agents ; gurus ; Walras mechanism ; riskier assets;
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- Follmer, Hans & Horst, Ulrich & Kirman, Alan, 2005. "Equilibria in financial markets with heterogeneous agents: a probabilistic perspective," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 123-155, February.
- Clotilde Napp & Elyès Jouini & Selima Benmansour, 2006. "Is there a "pessimistic" bias in individual beliefs ? Evidence from a simple survey," Post-Print halshs-00151569, HAL.
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