arXiv 7 Sep 2025 · Finance — Statistical Finance
arXiv:2509.05922 · PDF · DOI · OpenAlex · Extracted main text
This paper provides robust, new evidence on the causal drivers of market troughs. We demonstrate that conclusions about these triggers are critically sensitive to model specification, moving beyond restrictive linear models with a flexible DML average partial effect causal machine learning framework. Our robust estimates identify the volatility of options-implied risk appetite and market liquidity as key causal drivers, relationships misrepresented or obscured by simpler models. These findings provide high-frequency empirical support for intermediary asset pricing theories. This causal analysis is enabled by a high-performance nowcasting model that accurately identifies capitulation events in real-time.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Cinelli and Hazlett (2020) Making Sense of Sensitivity: Extending Omitted Variable Bias | 0.794 | 6 | 3 | 50% |
| 2 | Bry and Boschan (1971) | 0.737 | 3 | 2 | 100% |
| 3 | He and Krishnamurthy (2013) Intermediary Asset Pricing | 0.737 | 3 | 2 | 100% |
| 4 | Chernozhukov, Chetverikov, Demirer, Duflo, Hansen, Newey and Robins (2018) Double/debiased machine learning for treatment and structural parameters | 0.644 | 2 | 2 | 100% |
| 5 | Lundberg and Lee (2017) A Unified Approach to Interpreting Model Predictions | 0.644 | 2 | 2 | 100% |
| 6 | Andersen, Bollerslev, Diebold and Labys (2003) Modeling and Forecasting Realized Volatility | 0.585 | 3 | 1 | 100% |
| 7 | Asness, Moskowitz and Pedersen (2013) Value and Momentum Everywhere | 0.511 | 2 | 1 | 100% |
| 8 | Bakshi, Kapadia and Madan (2003) Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Option Contracts | 0.511 | 2 | 1 | 100% |
| 9 | Bernanke, Gertler and Gilchrist (1999) The Financial Accelerator in a Quantitative Business Cycle Framework | 0.511 | 2 | 1 | 100% |
| 10 | Gu, Kelly and Xiu (2020) Empirical Asset Pricing via Machine Learning | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 25 scored citations.