Professor George Skiadopoulos’ paper The Contribution of Frictions to Expected Returns: An Options-based Estimation Approach (joint with Kazuhiro Hiraki, Bank of Japan) has been included in the List of Papers with Impactful Research using WRDS.
The authors provide a simple, yet theoretically founded and empirically validated formula to estimate the effect of market frictions on expected stock returns, for any given optionable stock. The formula requires only the market prices of options, the underlying stock price, the risk-free interest rate and dividends (if paid) as inputs. The full paper can be found here:
An earlier version of the paper had been awarded the best paper award at the German Finance Association Meetings, among another 90 competing papers.