Game on: Social networks and markets

• 成果类型: Article
• 署名作者: Pedersen, Lasse Heje
• 署名单位: Copenhagen Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.05.002
• 发表日期: 2022
• 页码: 1097-1119
• 关键词: NETWORKS; Influencers; Social media; bubbles; asset prices; Belief formation; momentum; reversal

摘要

I present closed-form solutions for prices, portfolios, and beliefs in a model where four types of investors trade assets over time: naive investors who learn via a social network, fanatics possibly spreading fake news, and rational short- and long-term investors. I show that fanatic and rational views dominate over time, and their relative importance depends on their following by influencers. Securities markets exhibit social network spillovers, large effects of influencers and thought leaders, bubbles, bursts of high volume, price momentum, fundamental momentum, and reversal. The model sheds new light on the GameStop event, historical bubbles, and asset markets more generally. (C) 2022 The Author(s). Published by Elsevier B.V.