大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Reputation and Fragility

佐藤 祐己 (慶應義塾大学)

1. ホーム
2. セミナー・集中講義
3. セミナー
4. Reputation and Fragility

大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第84回

Reputation and Fragility

佐藤 祐己 (慶應義塾大学)

We study a model `a la Kyle (1985) where speculators care not only about trading profits but also about reputation, i.e., a recruiter’s perception about their skill. The model has two self-fulfilling sunspot equilibria. One is similar to Kyle’s. In the other, “reputation-driven” equilibrium, the speculators trade more aggressively in an effort to look skilled, even in the absence of noise traders, leading to poorer performance, higher price volatility, and higher market liquidity. Our results imply that (1) poaching practices may trigger fragility in financial markets, and (2) skill in active management may not translate into performance, consistent with empirical observations.