Marketplace Lending, Information Aggregation, and Liquidity

• 成果类型: Article
• 署名作者: Franks, Julian; Serrano-Velarde, Nicolas; Sussman, Oren
• 署名单位: University of London; London Business School; Bocconi University; Bocconi University; University of Oxford
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa101
• 发表日期: 2021
• 页码: 2318
• 关键词: Auctions; DYNAMICS; CHOICE; banks

摘要

Lending marketplaces aimed at directly connecting retail lenders and borrowers retreat from auctions and, instead, set prices and allocate credit on their own, despite evidence that retail investors possess valuable soft and nonstandard information. We investigate this puzzle by analyzing a unique data set of 7,455 auctions and 34 million bids from a leading British peer-to-business platform. We find that the platform was vulnerable to liquidity shocks, resulting in sizable deviations from information efficiency. Deviations increased over time because of a growing role played by noncrowd players, particularly large investors and algorithms.