Mispricing calculator
How "close" are a series of price indices to a series of fundamental values?
It turns that this relatively simple question can be (and actually has been) answered in many different ways. This website calculates several measures that have been used in the literature on experimental asset markets.
An obvious criticism of this state of affairs is that different measures give different answers. Which measure is "correct"? I (partially) address this concern by using the criteria of "numeraire independence" to derive the GD and GAD measures, which are unique under certain conditions (Powell, 2016).
Owen Powell
sites.google.com/site/opowell
opowell@gmail.com
1
Input your data
- one column per series, beginning with FV.
- labels (optional) are first row.
- use "." as decimal mark, any whitespace as separator.
- use "-" to indicate periods with no price value.
2
CALCULATE
3
OUTPUT
A
Sources
AB
Average Bias
Haruvy and Noussair, 2006
ASPD
Average Scaled Price Deviation
Ackert, Kluger and Qi, 2012
AASPD
Average Absolute Scaled Price Deviation
Ackert, Kluger and Qi, 2012
BoomDur (PS1995)
Boom Duration
Porter and Smith, 1995
BoomDur (HN2006)
Boom Duration
Haruvy and Noussair, 2006
BustDur (HN2006)
Bust Duration
Haruvy and Noussair, 2006
BustDur (CKP2010)
Bust Duration
Corgnet, Kujal and Porter, 2010
GAD
Geometric Absolute Deviation
Powell, 2016
GD
Geometric Deviation
Powell, 2016
NegDur (LPTW2014)
Negative Duration
Lugovskyy, Puzzello, Tucker and Williams, 2014
PosDur (LPTW2014)
Positive Duration
Lugovskyy, Puzzello, Tucker and Williams, 2014
PAmp (DLM2005)
Price Amplitude
Dufwenberg, Lindquist and Moore, 2005
PAmp (HN2006)
Price Amplitude
Haruvy and Noussair, 2006
RAD
Relative Absolute Deviation
Stöckl, Hüber and Kirchler, 2010
RD
Relative Deviation
Stöckl, Hüber and Kirchler, 2010
TD
Total Dispersion
Haruvy and Noussair, 2006