The most common and most likely answer to this crossword clue is the 9 letter word PRANKSTER
I've seen this crossword clue in Financial Times
P
R
A
N
K
S
T
E
R
Buddy explains!

The straight part
We know that "Wag" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case wag = prankster.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does PRANKSTER mean?
PRANKSTER noun- One who performs pranks.