By Bijan White
Wharton Research Data Services, one of the world’s leading data research institutions, awarded the Wharton-WRDS Best Paper Award in Empirical Research to two UCLA Anderson professors, Daniel Andrei and Bruce Carlin, assistant and associate professors of finance, along with their co-author Michael Hasler, professor of finance at Rotman School of Management. The trio was recognized for their innovative approach to model disagreements in their paper Model Disagreements and Economic Outlook.
The winning essay examined economic model disagreements and their impact on prices, volatility and business cycles, expanding on previous studies to understand 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.
This research proved to be a breakthrough amid the uncertainty surrounding financial models and it advocates for greater transparency to reduce disagreement and volatility. Hasler stated that the WRDS Best Paper Award acknowledgement was “terrific” and offers an opportunity for them to further discuss their work with other scholars.
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