网络借贷中羊群效应的存在性、驱动机制与投资者投资效率*

本文探究了网络借贷中羊群效应的存在性、背后的驱动机制以及对投资者投资效率的影响。实证结果表明，在控制了标的流标风险和时间固定效应后，我国网络借贷投资者群体中存在显著的羊群效应。进一步，标的羊群效应程度与借款人信息以及投资者类型紧密相关，借款人的还款能力越低，参与投资的投资者风险厌恶程度越低，则该标的的羊群效应越显著，说明羊群效应是“风险厌恶程度较低的投资者期望通过模仿他人的投资选择来消除由于信息不对称带来的违约风险”造成的结果。最后，网络借贷中的羊群效应有利于提升投资者的投资效率，具体表现在羊群效应提高了投资者成功投资的概率，并且有助于投资者在低质量标的中将资金投资到潜在违约风险更低的标的之中。

EXISTENCE,DRIVING MECHANISM AND IMPACT ON INVESTMENT EFFICIENCY OF HERDING BEHAVIOR IN P2P LENDING

This paper studies the existence of herding behavior in P2P lending market, as well as its driving mechanism and influence on investors investment efficiency. Empirical results show that there exists remarkable herding behavior in Chinese P2P lending market after the failure of bid risk and the time fixed effects being controlled. Furthermore, the extent of herding behavior is closely related to borrowers information and investors profile. Results show that low quality borrowers and low risk aversion investors will intensify herding behavior, which means herding behavior is driven by the motivation of low risk aversion investors to eliminate default risk by mimic previous investors investment direction. Finally, this paper finds that herding behavior helps investors improve their investment efficiency, presented as herding behavior increases the success rate of investment and assists investors to invest in the loan which has lower potential default risk.