Wharton Research Data Services Gives Best Paper Award for Research Measuring Volatility of Risk Indices

9/12/17

PHILADELPHIA--(BUSINESS WIRE)--Wharton Research Data Services (WRDS), the leading data research platform and business intelligence tool for corporate, academic and government institutions worldwide, is pleased to announce Ian Martin, Professor of Finance at the London School of Economics, and Christian Wagner, Professor of Finance at the Copenhagen Business School, as the winners of the WRDS Best Paper Award at the Western Finance Association. Their paper,“What is the Expected Return on a Stock?,” introduces a new approach to one of the classic questions in financial economics, which is of interest both to academics and to practitioners. The authors exploit derivative price data to understand equity market behavior and associated risks. A part of the Wharton School of the University of Pennsylvania, WRDS provides global corporations, universities and regulatory agencies the thought leadership, data access and insights needed to enable impactful research.

Martin and Wagner show how to extract information about future stock returns from derivative prices by defining volatility indices based on index and stock options.

These volatility indices are easily constructed, and they can be used to forecast individual stock returns in real time. This research has broad practical and academic applications.

Key points:

  • Provides new model of measurement for expected returns based on index and stock options pricing.
  • Research was conducted via WRDS using CRSP, Compustat, and OptionMetrics.

“WRDS is pleased to present the WRDS Best Paper Award to Professors Martin and Wagner for their efforts to uncover new models of assessing expected returns,” said Robert Zarazowski, Managing Director of WRDS. “On behalf of WRDS, I am delighted to congratulate Martin and Wagner on their outstanding work.”

“Christian and I are extremely grateful to WRDS for this Best Paper Award,” said Ian Martin. “It is a true honor to have our work recognized in this way, and to be able to share our findings with the research community.”

Along with continually adding new data to the platform, WRDS is a leader in enabling impactful research. Through a first-of-its-kind collaboration with SSRN, WRDS is elevating the visibility of universities and researchers working across an array of fields. The WRDS Research Paper Series is a searchable repository of all papers submitted to SSRN that cite WRDS in their work, which will increase researcher visibility and build a specialized research base that will advance shared knowledge. In addition, the organizations have launched the WRDS-SSRN Innovation Award™ to honor emerging business schools in North America, Asia-Pacific, and EMEIA. Learn more about how WRDS is driving impact: http://www.whartonwrds.com/about/our-impact/.

The paper has already won several awards and Martin and Wagner have been invited to present it at numerous conferences, banks, universities and firms.

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ABOUT WRDS

Wharton Research Data Services (WRDS) provides the leading business intelligence, data analytics, and financial research platform to global institutions ? enabling comprehensive thought leadership, historical analysis, and insight into the latest innovations in academic research.

WRDS provides researchers with one location to access over 250 terabytes of data across multiple disciplines including Accounting, Banking, Economics, ESG, Finance, Healthcare, Insurance, Marketing, and Statistics. Flexible data delivery options include a powerful web query method that reduces research time, the WRDS Cloud for executing research and strategy development, and the WRDS client server using PCSAS, Matlab, and R. Our Analytics team, doctoral-level support and rigorous data review and validation give clients the confidence to tailor research within complex databases and create a wide range of reliable data models.

An award-winning data research platform for over 50,000 commercial, academic, and government users in 30+ countries, WRDS is the global gold standard in data management and research ? all backed by the credibility and leadership of the Wharton School.

ABOUT THE WHARTON SCHOOL

Founded in 1881 as the first collegiate business school, the Wharton School of the University of Pennsylvania is recognized globally for intellectual leadership and ongoing innovation across every major discipline of business education. With a broad global community and one of the most published business school faculties, Wharton creates economic and social value around the world. The Wharton School has 5,000 undergraduate, MBA, executive MBA, and doctoral students; more than 9,000 participants in executive education programs annually and a powerful alumni network of 95,000 graduates.

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