spb/uqo-research-db

1\begin{table}[H]\centering\small2\caption{Robustness of the AI return spread (composite Q5$-$Q1, \%/yr, Newey--West \textit{t}). The post-ChatGPT spread is stable across signal definitions, horizons, sector-neutralization, dimension reduction, and the exclusion of mega-cap winners.}\label{tab:robust}3\begin{tabular}{lcc}\toprule4& Pre (2010--21) & Post (2022--24) \\\midrule5\multicolumn{3}{l}{\textit{Panel A. Alternative signal definition (composite)}}\\6Section-weighted (base) & +2.5 \tstat{1.58} & +14.6 \tstat{2.07} \\7Simple mean & +2.3 \tstat{1.50} & +13.4 \tstat{2.23} \\8Top-5\% tail & +1.5 \tstat{1.04} & +14.9 \tstat{2.47} \\9\midrule\multicolumn{3}{l}{\textit{Panel B. Alternative holding horizon}}\\106-month forward return & -0.1 \tstat{-0.10} & +1.1 \\1124-month forward return & +9.3 \tstat{2.86} & +23.0 \\12\midrule\multicolumn{3}{l}{\textit{Panel C. Construction / universe}}\\13Sector-neutral composite & +2.3 \tstat{3.35} & +3.8 \tstat{0.84} \\14First principal component & +2.6 \tstat{2.25} & +13.4 \tstat{1.97} \\15Excl.\ Magnificent-7 & +1.7 \tstat{1.07} & +14.1 \tstat{1.92} \\16Excl.\ top-10 by market cap & --- & +14.5 \tstat{1.93} \\17\bottomrule18\end{tabular}\end{table}