Game On: Social Networks and Markets

Lasse Heje Pedersen*

*Corresponding author af dette arbejde

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

379 Downloads (Pure)

Abstract

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.
OriginalsprogEngelsk
TidsskriftJournal of Financial Economics
Vol/bind146
Udgave nummer3
Sider (fra-til)1097-1119
Antal sider23
ISSN0304-405X
DOI
StatusUdgivet - dec. 2022

Emneord

  • Networks
  • Influencers
  • Social media
  • Bubbles
  • Asset prices
  • Belief formation
  • Momentum
  • Reversal

Citationsformater