P2P借款人的定价偏差与被动违约风险——基于“人人贷”数据的分析

本文主要通过行为资产定价理论和"人人贷"2014-2018年的数据,研究网络借贷(P2P)借款人定价偏差的影响因素及其与被动违约风险之间的关系。定价偏差是将P2P借贷利率分解为效率部分和无效率部分,并通过成本随机前沿模型得到。结果表明:借款人定价存在显著偏差且在不同群体间有所差异;借款人的粉饰行为未能起到减小定价偏差的作用,甚至会起到反效果;当借款人的声誉成本高于还款成本时,此时的违约主要表现为被动违约;即使借款人主观还款意愿强烈,但定价偏差越大,借款人剩余收入就越吃紧,还款过程中逾期次数和欠债比例增加的可能性就越大,进而引发被动违约风险。

Pricing Deviation and Passive Default Risk of Peer-to-Peer Borrowers: An Analysis Based on Transaction Data from Renrendai.com

China's P2P (peer-to-peer) online lending industry has experienced numerous twists and turns in its development process, during which there have been several serious platform crises that have hindered the healthy development of the industry. Default risk has become an unavoidable problem, resulting in the loss of capital allocation efficiency in the industry. Previous studies have focused on active defaults, in which borrowers intentionally or strategically default despite having the ability to repay; passive defaults have been discussed less frequently. On many P2P platforms, borrowers can independently set borrowing rates in advance and make loan orders. Due to their relatively weak bargaining skills, borrowers are likely to produce pricing deviation, causing an unexpected rise of repayment pressure. When the pressure exceeds the borrower's ability, the borrower will have to default. This paper argues that even if there is no active default intention, excessive pricing deviation will often break the borrower's income balance and lead to passive default. We further propose that the borrower, as the party with more information, will try to reduce pricing deviation through information whitewashing and reverse his/her inferior position to obtain a larger bargaining surplus. We therefore study the characteristics of this behavior and investors' reaction to it.
In the theoretical part, based on behavior asset pricing theory and the pricing mechanism of Renrendai.com, this paper explores the reasons for pricing deviation. In an attempt to obtain a lower borrowing rate, borrowers may use unverifiable soft information; consequently, this paper discusses information whitewashing. Considering reputation cost and income balance, this paper also analyzes the relationship between pricing deviation and default risk.
In the empirical part, with data from Renrendai.com from 2014 to 2018, this paper studies the factors influencing the pricing deviation of peer-to-peer borrowers and the relationship between pricing deviation and passive default risk. Pricing deviation is obtained through a stochastic frontier approach by dividing interest rate into an efficient part and an inefficient part. The paper finds substantial pricing deviation among borrowers, which varies between different groups. Borrowers' whitewashing fails to reduce pricing bias and may even backfire. Furthermore, when the borrower's reputation cost is higher than the lending rate, defaults are mainly passive. Even if the borrower does not actively intend to default, the greater the pricing deviation, the tighter the borrower's remaining income, and the greater the likelihood that the number of overdue payments and the proportion of debt owed will increase, which leads to greater risk of passive default.
Based on these empirical results, this paper makes several suggestions. First, the rate pricing mechanism should be improved, which means that rate flexibility should be increased and P2P interest rate marketization should be promoted. Second, information disclosure should be strengthened and information standardization should be implemented. Finally, it is necessary to improve default risk control, understand borrowers' motivations, reduce the probability of passive default, and improve the efficiency of capital allocation.
Our study contributes to the literature in the following ways. First, the cost stochastic frontier (SFA) is used to construct the pricing deviation index. In contrast to the literature, this construction method comprehensively considers loan availability and the post-loan default risk of a loan order, which classifies the optimal interest rate and pricing deviation more objectively and reasonably. Second, focusing on the limits of platform information verification, this paper investigates the information whitewashing behavior of borrowers and the reaction of investors, and it reveals the information transmission and bargaining mechanism of both parties on the platform. Third, it outlines the reasons for borrowers' passive default, examines the relationship between pricing deviation and passive default, and enriches the risk control strategy of P2P platforms.