Mispricing R2

This dataset provides the Mispricing R² measure for 41 global equity markets over the period from January 1994 to June 2021. Mispricing R² is a novel proxy for systematic mispricing in international markets, capturing the extent of market inefficiency derived from market frictions and behavioral biases. The measure is constructed using an instrumented principal component analysis (IPCA) approach based on 11 standard mispricing anomalies: net stock issues, composite equity issues, accruals, net operating assets, asset growth, investment to assets, distress, O-score, momentum, gross profitability, and return on assets.本数据集涵盖1994年1月至2021年6月期间全球41个股票市场的错误定价R²（Mispricing R²）指标。错误定价R²是用于衡量国际市场系统性错误定价的新型代理变量，可捕捉由市场摩擦与行为偏差所引致的市场低效程度。 该指标基于11项标准错误定价异象，采用工具化主成分分析（instrumented principal component analysis, IPCA）方法构建，具体涵盖：股票净发行、综合股权发行、应计项目、净营运资产、资产增长率、资产投资率、财务困境、O-score、动量效应、总盈利能力以及资产收益率。