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Gurus and beliefs manipulation

Author

Listed:
  • Elyès Jouini

    () (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique)

  • Clotilde Napp

    (CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - ENSAE ParisTech - École Nationale de la Statistique et de l'Administration Économique, DRM - Dauphine Recherches en Management - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique)

Abstract

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.

Suggested Citation

  • Elyès Jouini & Clotilde Napp, 2010. "Gurus and beliefs manipulation," Working Papers halshs-00555609, HAL.
  • Handle: RePEc:hal:wpaper:halshs-00555609
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00555609
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    File URL: https://halshs.archives-ouvertes.fr/halshs-00555609/document
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
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