Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
基于期权价格、估值比率和利率构建了一个市场情绪指标，该指标可解释为理性投资者为持有市场所需的最低基本面增长预期，并在1990年代末异常高，反映了过度乐观的股息增长预期。
ABSTRACT We define a sentiment indicator based on option prices, valuation ratios, and interest rates. The indicator can be interpreted as a lower bound on the expected growth in fundamentals that a rational investor would have to perceive to be happy to hold the market. The bound was unusually high in the late 1990s, reflecting dividend growth expectations that in our view were unreasonably optimistic. Our approach exploits two key ingredients. First, we derive a new valuation ratio decomposition that is related to the Campbell–Shiller loglinearization but that resembles the Gordon growth model more closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market's expected log return.