Inferring financial bubbles from option data
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‐arbitr...
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| Published in | Journal of applied econometrics (Chichester, England) Vol. 36; no. 7; pp. 1013 - 1046 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Chichester
Wiley Periodicals Inc
01.11.2021
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| Subjects | |
| Online Access | Get full text |
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| Abstract | 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. |
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| AbstractList | 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. 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. |
| Author | Jarrow, Robert A. Kwok, Simon S. |
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| Cites_doi | 10.2139/ssrn.1604175 10.1080/14697688.2018.1459811 10.1007/978-3-319-00413-6_1 10.1007/s00780-005-0162-y 10.1198/jasa.2009.ap08171 10.1111/iere.12131 10.1016/j.jeconom.2005.06.031 10.1111/j.1468-0262.2004.00516.x 10.3905/jpm.2014.40.2.054 10.1016/j.jbankfin.2019.07.008 10.1007/s002080050220 10.1111/j.1467-9965.2010.00394.x 10.1016/S0304-4076(03)00102-7 10.1111/j.1540-6261.2011.01700.x 10.3905/jpm.2011.38.1.125 10.1007/s001990050330 10.1080/14697688.2014.989897 10.1007/978-3-662-10061-5 10.1137/10079673X 10.1006/jeth.1999.2589 10.1086/296025 10.1007/BF01450498 10.1086/260062 10.2139/ssrn.3670999 10.1111/0022-1082.215228 10.1111/j.1467-9965.2011.00497.x 10.1016/j.jeconom.2015.06.024 10.1111/1468-0262.00152 10.2307/3003143 10.1093/acprof:oso/9780199549498.003.0015 10.1111/iere.12132 10.1146/annurev-financial-030215-035912 10.1093/rfs/hhl005 10.1016/j.jfineco.2013.08.013 10.1111/1467-9469.00056 |
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Financial bubbles arise when the underlying asset's market price deviates from its fundamental value. Unlike other bubble tests that use time series... 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... |
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| SubjectTerms | asset price bubble Assets Econometrics Empirical analysis fundamental value nonparametric estimation Nonparametric statistics partial identi.cation Prices risk‐neutral probability measure Securities prices state price distribution Time series Trading |
| Title | Inferring financial bubbles from option data |
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