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.

中文翻译：

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从期权数据推断金融泡沫

当标的资产的市场价格偏离其基本价值时，就会出现金融泡沫。与其他使用时间序列数据并假设简化形式的价格过程的泡沫测试不同，我们使用期权价格数据非参数地推断泡沫的存在。在无套利和承认数据限制的情况下，我们可以使用欧式期权价格的横截面来部分识别资产价格泡沫。在实证分析中，我们获得了嵌入标准普尔 500 指数的价格泡沫的区间估计。然后使用估计的指数泡沫来构建盈利的动量交易策略，该策略始终优于买入并持有交易策略。