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Under no\u2010arbitrage 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&amp;P 500 Index. The estimated index bubbles are then used to construct profitable momentum trading strategies that consistently outperform a buy\u2010and\u2010hold trading strategy.<\/jats:p>","DOI":"10.1002\/jae.2862","type":"journal-article","created":{"date-parts":[[2021,7,22]],"date-time":"2021-07-22T12:55:56Z","timestamp":1626958556000},"page":"1013-1046","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":19,"title":["Inferring financial bubbles from option data"],"prefix":"10.1002","volume":"36","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-9893-9611","authenticated-orcid":false,"given":"Robert A.","family":"Jarrow","sequence":"first","affiliation":[{"name":"Samuel Curtis Johnson Graduate School of Management Cornell University  Ithaca New York USA"},{"name":"Kamakura Corporation  Honolulu Hawaii USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-8182-0814","authenticated-orcid":false,"given":"Simon S.","family":"Kwok","sequence":"additional","affiliation":[{"name":"School of Economics The University of Sydney  Sydney NSW 2006 Australia"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2021,8,25]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00102-7"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.215228"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01700.x"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/296025"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00516.x"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-005-0162-y"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01450498"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1007\/s002080050220"},{"key":"e_1_2_9_11_1","volume-title":"Local polynomial modelling and its applications","author":"Fan J.","year":"1996"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1198\/jasa.2009.ap08171"},{"key":"e_1_2_9_13_1","volume-title":"Nonlinear time series: Nonparametric and parametric methods","author":"Fan J.","year":"2005"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780199549498.003.0015"},{"key":"e_1_2_9_15_1","doi-asserted-by":"crossref","unstructured":"Fusari N. Jarrow R. A. &Lamichhane S.(2020).Testing for Asset Price Bubbles using Options Data Working Paper DOI:https:\/\/doi.org\/10.2139\/ssrn.3670999.","DOI":"10.2139\/ssrn.3670999"},{"key":"e_1_2_9_16_1","volume-title":"Econometric analysis","author":"Greene W.","year":"2003"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl005"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-030215-035912"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1137\/10079673X"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.2011.38.1.125"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2011.00497.x"},{"key":"e_1_2_9_22_1","doi-asserted-by":"crossref","unstructured":"Jarrow R. 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