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.

本数据集涵盖了1994年1月至2021年6月期间41个全球股票市场的定价偏差R²度量。定价偏差R²是一种新颖的国际市场系统性定价偏差的代理指标，它捕捉了由市场摩擦和行为偏差导致的效率损失程度。该度量采用基于11个标准定价异常的仪器化主成分分析（IPCA）方法构建，包括净股票发行、综合股权发行、应计项目、净营运资产、资产增长、资本对资产比率、困境、O分数、动量、总盈利能力和资产回报率。