This page provides the data on option-implied expected returns used in Martin, Rodenkirchen, Wagner, and Wang (2026), "Option Prices, Analyst Expectations, and Stock Returns", Working Paper. The construction follows Martin and Wagner (2019), "What is the Expected Return on a Stock?", Journal of Finance 74 (4), 1887-1929. Please cite when using the data. 

The data can be downloaded from the folder below. Please consult the readme file first: it documents the variables, the sample coverage, and how the series are constructed.

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.