Evolutionary strategic beliefs and financial markets
| Autor: | Yannick Viossat, Clotilde Napp, Elyès Jouini |
|---|---|
| Přispěvatelé: | CEntre de REcherches en MAthématiques de la DEcision (CEREMADE), Centre National de la Recherche Scientifique (CNRS)-Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL), Centre de Recherche en Économie et Statistique (CREST), Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] (ENSAI)-École polytechnique (X)-École Nationale de la Statistique et de l'Administration Économique (ENSAE Paris)-Centre National de la Recherche Scientifique (CNRS), Dauphine Recherches en Management (DRM), Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS), chaire Dauphine-ENSAE-Groupama |
| Rok vydání: | 2012 |
| Předmět: |
Subjectivity
Financial economics media_common.quotation_subject Risk premium optimal beliefs JEL: D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D53 - Financial Markets Pessimism Optimism Order (exchange) Beliefs formation 0502 economics and business Economics 050207 economics Positive economics pessimism media_common strategic beliefs 050208 finance 05 social sciences Financial market JEL: D - Microeconomics/D.D8 - Information Knowledge and Uncertainty/D.D8.D81 - Criteria for Decision-Making under Risk and Uncertainty distorded beliefs [SHS.ECO]Humanities and Social Sciences/Economics and Finance Variable (computer science) risk premium JEL: D - Microeconomics/D.D0 - General/D.D0.D03 - Behavioral Microeconomics: Underlying Principles JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates Overconfidence effect Beliefs formation strategic beliefs optimal beliefs distorded beliefs pessimism risk premium |
| Zdroj: | Review of Finance Review of Finance, Oxford University Press (OUP): Policy F-Oxford Open Option D, 2012, pp.1 HAL |
| ISSN: | 1572-3097 1573-692X |
| Popis: | International audience; We provide a discipline for belief formation through a model of subjective beliefs, in which agents hold strategic beliefs. More precisely, we consider beliefs as a strategic variable that agents can choose (consciously or not) in order to maximize their utility at the equilibrium. These strategic beliefs result from an evolutionary process. We find that evolutionary strategic behavior leads to belief subjectivity and heterogeneity. Optimism (resp. overconfidence) as well as pessimism (resp. doubt) both emerge from the evolution process. Furthermore, we obtain a positive correlation between pessimism (rep. doubt) and risk-tolerance. We analyse the equilibrium characteristics. Under reasonable assumptions, the consensus belief is pessimistic and, as a consequence, the risk premium is higher than in a standard setting. |
| Databáze: | OpenAIRE |
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