Asset mispricing in peer-to-peer loan secondary markets

作者：
Mustafa Caglayan (Heriot-Watt University)
Tho Pham (University of Reading)
Oleksandr Talavera (University of Birmingham)
XiongXiong (Tianjin University)
内容分享：
    学术界普遍认为，资产的错误定价主要由于市场摩擦和交易限制。那么，在交易成本很低且无交易限制的金融市场中，是否会存在错误定价，错误定价产生的原因又是什么？本文使用欧洲P2P平台Bondora进行了实证，对这一问题进行了研究。Bondora设有二级市场，原始标的可以进行分发，并在投资者之间进行转手。文章通过机器学习的方法，估算给定每笔交易的资产出售成功的概率（较高的预测销售概率可能表明卖方的价格接近资产的基本价值，反之亦然），并定义两种错误定价：如果估算的出售率高但实际没有成交，说明买家低估了标的价值；如果估算的出售率低但实际成交，说明买家高估了标的价值。
    实证结果表明，在个人债务市场（ P2P市场）中存在错误定价，而融资方会根据前期的错误定价调整后续策略。同时，作者认为这种错误定价主要是由于投资者的有限关注和异质信念。Abstract：This study examines the presence of mispricing on Bondora, a leading European peer-to-peer lending platform, over the 2016-2019 period. By implementing machine learning methods, we measure the likelihood of success for loan resale on Bondora’s secondary market and compare our predictions with the ex-post market outcomes. The differences observed uncover two phenomena which are related to the diverging perceptions of market participants on asset prices and associated fundamentals: some non-saleable assets are sold, while the resale of highly saleable assets is not successful. Sellers’ pricing behaviour changes once they observe buyers’ actions revealing the buyers’ beliefs about the value of the asset. Our results are robust to various statistical and machine learning methodsKeywords：mispricing, online secondary market, peer-to-peer lending, belief dispersion参考文献: Caglayan M , Pham T , Talavera O , et al. Asset mispricing in peer-to-peer loan secondary markets[J]. Journal of Corporate Finance, 2020, 65:101769. doi:10.1016/j.jcorpfin.2020.101769

撰稿人: 庞圆圆 | 编辑：原宏敏

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