Bubbles and persuasion with uncertainty over market sentiment

• 成果类型: Article
• 署名作者: Negrelli, Sara
• 署名单位: Bocconi University
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2019.12.007
• 发表日期: 2020
• 页码: 67-85
• 关键词: Bubbles; Heterogenous priors; higher-order beliefs; Market manipulation; Bayesian persuasion

摘要

Recent empirical studies suggest that, during times of unexpected innovation, agents heterogeneously update their beliefs about an asset fundamental value and are uncertain of other agents' beliefs about it. In this paper I show that, when there is uncertainty over the market sentiment - defined as other investors' beliefs about an asset fundamental value - market manipulation can act through a previously unconsidered channel, by misleading agents' learning on the market sentiment. This novel type of market manipulation could strengthen existing financial bubbles, or even give rise to new ones. (C) 2019 Elsevier Inc. All rights reserved.