Asset mispricing in peer-to-peer loan secondary markets

Mustafa Caglayan, Tho Pham, Oleksandr Talavera, Xiong Xiong

Research output: Contribution to journalArticle

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 methods.
Original languageEnglish
Article number101769
JournalJournal of Corporate Finance
Volume65
Early online date22 Oct 2020
DOIs
Publication statusE-pub ahead of print - 22 Oct 2020

Keywords

  • Belief dispersion
  • Mispricing
  • Online secondary market
  • Peer-to-peer lending

ASJC Scopus subject areas

  • Business and International Management
  • Finance
  • Economics and Econometrics
  • Strategy and Management

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