Inferring Financial Bubbles from Option Data
利用期权价格数据，在无套利条件下非参数地识别资产价格泡沫，并基于标普500指数泡沫区间构建动量交易策略，该策略持续优于买入持有策略。
Summary Financial bubbles arise when the underlying asset's market price deviates from its fundamental value. Unlike other bubble tests that use time series data and assume a reduced‐form price process, we infer the existence of bubbles nonparametrically using option price data. Under no‐arbitrage and acknowledging data constraints, we can partially identify asset price bubbles using a cross section of European option prices. In the empirical analysis, we obtain interval estimates of price bubbles embedded in the S&P 500 Index. The estimated index bubbles are then used to construct profitable momentum trading strategies that consistently outperform a buy‐and‐hold trading strategy.