Asset mispricing: An analysis between developed and emerging markets

With the use of the Stambaugh, Yu & Yuan (2015) mispricing scoreand data of 16 countries between 1994 and 2018, I investigate whether emerging markets are more mispriced compared to developed markets. I find for both markets and underlying countries statistically significant monthly abnormal returns. Developed markets are found to be as relatively mispriced as emerging marketswith emerging markets as the difference in abnormal returns is statistically insignificant. Exchange rates and the regression R2, as proxy for pricing inefficiency,are found to be the only significant explanations towards the mispricing.