Option-Implied Expected Returns

Data for Option Prices, Analyst Expectations, and Stock Returns

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This page provides the option-implied expected return data used in Martin, Rodenkirchen, Wagner and Wang (2026), Option Prices, Analyst Expectations, and Stock Returns. The series are constructed following Martin (2017), What is the Expected Return on the Market?, Quarterly Journal of Economics, 132:1:367–433, and Martin and Wagner (2019), What is the Expected Return on a Stock?, Journal of Finance, 74:4:1887–1929. The files are also available on Christian Wagner’s webpage.

Warning: We are aware of a small number of erroneous data points due to distortions in the OptionMetrics volatility surface around the times of certain corporate actions. Specifically, there are incorrect data points for Morton in April/May 1997, for Enserch in August 1997, for Marriott in March/April 1998, and for AIG in July/August 2000. We will address these systematically in due course.

Files

readme Variable definitions, sample coverage, and construction of the series. PDF, 0.4 MB.
svix_market_monthly.csv Monthly time series, 1996–2025. CSV, 33 KB.
svix_market_daily.csv Daily time series, 1996–2025. CSV, 698 KB.
oiret_monthly.csv Monthly panel, 1996–2025. CSV, 17.3 MB.
oiret_daily.zip Daily panel, 1996–2025. ZIP, 144.5 MB.

Last updated September 2026.