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本文利用P2P网站“人人贷”的实际交易数据,探究P2P借贷模式下投资者群体的风险偏好。实证结果表明,P2P借贷中投资者群体是风险厌恶型的,当利率大于11%时,投资者群体的风险厌恶特性会显著表现出来。当投资者群体显著表现出风险厌恶特性时,随着利率的升高,投资者对优质标的的筛选力度变大,使得成交标的中借款人的潜在违约风险不再随利率上升而上升,标的的实际违约率同样不再与利率表现出正相关关系,这意味着利率对违约率反映能力的部分失效,造成产品收益与产品风险的失衡。
In this paper, we use the actual transaction data of P2P website “Renren ” to explore the risk appetite of investors in P2P lending. The empirical results show that the investor group in P2P lending is risk-averse. When the interest rate is more than 11%, the risk-averse characteristic of the investor group will be significantly manifested. When the investor group shows the risk aversion characteristic remarkably, as the interest rate increases, the investor screening the high-quality bidder becomes larger, so that the potential default risk of the borrower in the bidding contract no longer rises with the increase of the interest rate. The actual rate of default also no longer shows a positive correlation with the interest rate, which means that interest rates partially fail to reflect the ability of the default rate, resulting in an imbalance between product revenue and product risk.