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dc.contributor.authorJouini, Elyès
dc.contributor.authorNapp, Clotilde
dc.date.accessioned2018-03-10T15:37:53Z
dc.date.available2018-03-10T15:37:53Z
dc.date.issued2015
dc.identifier.issn0264-9993
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17540
dc.language.isoenen
dc.subjectHeterogeneous beliefsen
dc.subjectBelief manipulationen
dc.subjectGurusen
dc.subjectOptimismen
dc.subjectPessimismen
dc.subjectEquity premium puzzleen
dc.subjectEquilibriumen
dc.subjectRiskier assetsen
dc.subjectWalras mechanismen
dc.subjectStandard agentsen
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelD.D5.D53en
dc.subject.classificationjelD.D8.D81en
dc.subject.classificationjelD.D8.D82en
dc.subject.classificationjelD.D8.D83en
dc.subject.classificationjelZ.Z1.Z12en
dc.titleGurus and belief manipulationen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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. Gurus are strategic: they take into account the impact of their announced beliefs on the other agents, hence on prices. Standard agents observe gurus' performances, choose a guru and follow her/his recommendations. Prices are determined through a classical Walras mechanism. The competition among gurus for attracting followers among standard agents is governed by the level of accuracy of their predictions. The strategic behavior leads to belief subjectivity and heterogeneity among the gurus even when gurus' initial beliefs coincide with the objective belief. Optimism as well as pessimism can both emerge. We find a positive correlation across the agents between pessimism and risk tolerance. The representative agent belief, or the consensus belief is pessimistic. As a consequence of the pessimistic bias at the aggregate level, the risk premium is greater than in the standard rational expectations equilibrium. We show on an example that this impact is significative. In a multi-asset framework, the impact is stronger on the riskier assets.en
dc.relation.isversionofjnlnameEconomic Modelling
dc.relation.isversionofjnlvol49en
dc.relation.isversionofjnldate2015
dc.relation.isversionofjnlpages11-18en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.econmod.2015.03.013en
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00555609/fr/en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2018-03-10T15:29:31Z
hal.person.labIds60
hal.person.labIds1032


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