| Since the emergence of the first P2P lending platform in China in 2007,the scale of lending transactions and the number of P2P lending platforms have developed rapidly.In recent years,due to the limitations of the platform's own credit technology and the imperfect policies and regulations,the borrower's risk of default is high,which increases the risk of platforms failure and negatively affects the sustainable development of the P2P lending industry.In the formal financial market,banks solve the problem of information asymmetry by requiring borrowers to provide collateral and collateral,but this also causes credit rationing problems.The P2P lending platforms act as an information intermediary and is a bridge connecting borrowers and investors.Its customer base is mainly small and micro enterprises and low-income people who cannot provide collateral.Whether the platforms can solve the problem of information asymmetry between the borrowers and the lenders is not only related to the interests of investors,but also whether the platform can realize the functions of information mediation.From the theoretical research point of view,some scholars believe that P2P lending can take advantage of the Internet to solve the problem of information asymmetry between borrowers and lenders,and carry out unsecured pure credit lending business.Some scholars believe that adverse selection and moral hazard still exist in P2P lending market.From a practical perspective,studying the information asymmetry in P2P lending will help to improve the risk control level of the P2P lending platforms,protect the legitimate rights and interests of investors,and provide a corresponding basis for regulators to formulate policies.This thesis theoretically explores the reasons for the formation of adverse selection and moral hazard problems in P2P lending,and empirically tests with 600,000 micro-lending transaction data,and proposes the mechanism of mitigating information asymmetry from the perspectives of signal transmission and default cost.This thesis studies the impact of these two mechanisms on borrower default risk and investor decision-making.In the theoretical analysis part,starting from the operating characteristics of the P2P lending platforms and the characteristics of the P2P lending market,comparing with the formal financial market and the traditional private lending market,it shows that the P2P lending platforms are faced with such problems as high cost of effective information acquisition,high cost of post-loan management and low default cost of borrowers,the information asymmetry between the borrowers and the borrowers cannot be resolved.Combining mathematical models,this thesis analyzes the reasons for the adverse selection and moral hazard problems in P2P lending,and proposes two ways to alleviate information asymmetry:signal transmission and increase default costs.The platforms can distinguish the risk types by making borrowers disclose more information,or directly reduce the default risk by increasing the default cost.In the empirical part,this thesis uses the data of "renrendai" to test the adverse selection and moral hazard in P2P lending.From the perspective of signal transmission and default cost,it studies its impact on borrower default risk and investor decision-making.The conclusions are as follows:(1)This thesis finds that there are a certain proportion of high-income people in P2P lending,while high-income people can borrow from formal financial institutions with lower interest rates,and should not borrow in P2P lending market.Therefore,by examining the relationship between income and default probability,it is tested whether there is adverse selection problems.The results show that the probability of default for high-income people is higher.Further research finds that the borrower did not provide false income information,but the borrower concealed the credit information,indicating that borrowers with high-income and high-risk(poor credit)could not obtain loans from formal financial institutions,so they choose to lend on higher-interest P2P lending platforms.This is similar to the insurance market,where people who are in poor health are more likely to buy insurance.This thesis uses the exogenous event of the stock market crash to research whether borrowers can misappropriate borrowing funds into the stock market to test whether there is moral hazard in P2P lending.It is found that the borrower has a higher probability of default after the stock market crash.Further research finds that borrowers who borrow in the bull market and repay in the bull market have a significantly lower default probability than other periods.Borrowers who borrow in the bull market and repay in the bear market or borrow in the bear market and repay in the bear market have a significantly higher default probability than other periods.There is a moral hazard in P2P lending.(2)Signal transmission can alleviate information asymmetry to a certain extent.This thesis divides the information provided by the borrower into hard information and soft information.It finds that the higher the quantity and quality of hard information,the lower the default risk,the more the number of soft information is,the higher the default risk is.The hard information can be used as a signal to accurately reflect the risk type of the borrower,while the soft information cannot.In terms of investor decision-making,the study found that the more and higher the quantity and quality of hard information,the higher the loan success rate and the larger the investment amount,indicating that investors can effectively identify the default risk of borrowers with hard information.The more the number of soft information,the higher the loan success rate and the larger the investment amount,but the previous research shows that borrowers with a large number of soft information have a higher probability of default.Therefore,this thesis proposes two possible explanations:"learning effect" and "income effect".The study finds that investors consistently preferred borrowers with large amounts of soft information,and investors did not show a "learning effect".However,borrowers with more soft information have higher interest rates.This shows that investors choose more soft information because they can obtain higher returns.There is an "income effect".(3)Increasing the default cost of borrowers can alleviate information asymmetry to a certain extent.This thesis divides the cost of default into internal reputation constraint,external reputation constraint and debt collection threat.The result shows that the more times the borrower repays,the lower the probability of default.Internal reputation constraints can significantly reduce the risk of default,but they only work for borrowers who repeatedly borrow on the same platform.Second,the better the credit environment of the city where the borrower is located,the lower the default probability of the borrower,and the external reputation constraint can also reduce the default risk.Considering that different educational backgrounds will affect individual credit ethics,the study finds that internal reputation constraint can significantly reduce the default probability regardless of whether the borrower is highly educated or low educated,while external reputation constraint can only be restricted to highly educated borrowers.Third,if there are branches of P2P lending platforms in the city where the borrower is located,the lower the default probability is,and the debt collection threat can increase the default cost of the borrower and reduce the default risk.Finally,the more times the borrower repays,the higher the loan success rate and the higher the investment amount.The investor can effectively identify the value of the internal reputation constraint.However,the credit environment and the branches have nothing to do with the loan success rate and the investment amount.Investors cannot effectively identify the value of external reputation constraints and debt collection threats.This thesis uses the existing research for reference to achieve the following innovations:First,in terms of research content,this thesis comprehensively and systematically analyzes the problem of information asymmetry in P2P lending,and empirically tests it with micro-transaction data,the conclusion made up the blank of the existing research to some extent;second,it sorts out the characteristics of P2P lending,and explores the formation reasons of adverse selection and moral hazard and the mechanism of mitigating information asymmetry by mathematical model,enriching the theoretical research in this field;Third,existing studies lack empirical support for whether P2P lending platforms can solve information asymmetry.This thesis first empirically tests the adverse selection and moral hazard problems in P2P lending,and provides a realistic basis for relevant theories.Fourth,it systematically studies the two mechanisms of mitigation information asymmetry in P2P lending,signal transmission and default cost.It not only improves the research in this field,but also has certain experience for investors,P2P lending platforms and regulators. |
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