Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/315413 
Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Review of Derivatives Research [ISSN:] 1573-7144 [Volume:] 27 [Issue:] 1 [Publisher:] Springer US [Place:] New York, NY [Year:] 2024 [Pages:] 85-111
Verlag: 
Springer US, New York, NY
Zusammenfassung: 
The martingale theory of bubbles enables testing for asset price bubbles by analyzing option prices. As recently shown by Piiroinen et al. (Asset price bubbles: an option-based indicator, 2018), the SABR model is a strict local martingale when its parameterization implies a positive correlation between stock and option prices. We operationalize this theoretical result and analyze stock price bubbles in 2576 stocks over 26 years. Martingale defect conditions are absorbed quickly by options markets, but identify high proportions in significant and permanent changes in distribution of price returns, option trading activity, short interest in the underlying, and institutional ownership. These results confirm many common assumptions about stock price bubbles. These bubbles are temporally clustered, and tend to occur in periods of positive market development. Martingale defects are rare in market corrections, which indicates that they are a result of overoptimistic speculation.
Schlagwörter: 
Stock price bubbles
Martingale defect
Strict local martingales
SABR model
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