A Low-Risk anomaly also in the crowdlending market
The existence of a low-risk anomaly has been firmly established for stocks and corporate bonds. This paper1 adds to the literature by showing that the anomaly is also clearly present in the crowdlending market. Crowdlending has emerged in recent years as an innovative way to finance new ventures and small companies. Digitalized funding is a new technology, which may be prone to mispricing and inefficiencies.
The paper investigates whether peer-to-peer crowdlending to businesses provides investors with returns consistent with the level of risk borne. By studying over 3000 loans mediated on 68 European platforms the authors show that returns are inversely related to riskiness, suggesting that, on average, crowdfunded loans are mispriced. These results on a new dataset illustrate the pervasiveness of the low-risk anomaly and are evidence against ‘p-hacking’ or ‘data mining’ concerns.
1Adhami, S., Gianfrate, G. and Johan, S., 2019, ‘Risks and Returns in Crowdlending’, working paper.
Nos analystes publient de nombreuses études basées sur leurs propres recherches empiriques ; ils suivent aussi de près les recherches quantitatives réalisées par leurs collègues. Le responsable du département Quant Equities Research David Blitz se penche sur des études indépendantes réputées.
