Wharton Research Data Services, one of the world’s leading data research institutions, has awarded the Wharton-WRDS Best Paper Award in Empirical Research to two UCLA Anderson faculty. Daniel Andrei and Bruce Carlin, assistant and associate professors of finance, respectively, along with their co-author Michael Hasler, professor of finance at Rotman School of Management, were recognized for their innovative approach to model disagreements.
The winning essay examined economic model disagreements and their impact on prices, volatility and business cycles, expanding on previous studies on the relationship between disagreement and volatility. The researchers analyzed the relationship between forecast dispersion data and stock volatility, and translated investor disagreement into a model to test.
According to their research, more accurate earnings forecasts and increased monthly, rather than quarterly, indicators could reduce volatility.
