Repository Public Research preview
1% ============================================================================2% UQO Working Paper Template — Economics / Finance3% ============================================================================4\documentclass[12pt,letterpaper]{article}56% --- Encoding & Language ---7\usepackage[utf8]{inputenc}8\usepackage[T1]{fontenc}9\usepackage[english]{babel}1011% --- Page Layout ---12\usepackage[13 letterpaper,14 top=1in,15 bottom=1in,16 left=1in,17 right=1in18]{geometry}1920% --- Typography ---21\usepackage{mathptmx} % Times-like font (text + math)22\usepackage{microtype} % Improved typographic refinements23\usepackage{setspace}24\onehalfspacing % 1.5 line spacing2526% --- Math ---27\usepackage{amsmath,amssymb,amsthm}2829% --- Tables ---30\usepackage{booktabs}31\usepackage{tabularx}32\usepackage{multirow}33\usepackage{threeparttable}34\usepackage{siunitx}35\sisetup{36 input-symbols = {()},37 table-format = -1.3,38 parse-numbers = false39}4041% --- Figures ---42\usepackage{graphicx}43\graphicspath{{figures_r3k/}{../figures/r3k_v2/}}44\usepackage{adjustbox}45\usepackage{subcaption}46\usepackage{float}4748% --- Colors & Links ---49\usepackage[dvipsnames]{xcolor}50\usepackage[51 colorlinks = true,52 linkcolor = NavyBlue,53 citecolor = NavyBlue,54 urlcolor = NavyBlue,55 breaklinks = true56]{hyperref}57\hypersetup{58 pdftitle = {Does the Language of Artificial Intelligence Move Markets? A Semantic Analysis of Russell 3000 SEC Filings and the Cross-Section of Stock Returns, 2010-2026},59 pdfauthor = {Manel Kammoun, Djerrycharli Tandjambianda, Simon-Pierre Boucher},60 pdfsubject = {UQO/FIRC Working Paper No. 0002, version 2.1 (revised after peer review, November 2026)},61 pdfkeywords = {textual analysis, sentence embeddings, artificial intelligence, disclosure, cross-section of returns, Russell 3000, firm size, event study, generative AI, G12, G14, G17, M41, O33}62}63\usepackage[capitalise,noabbrev]{cleveref}6465% --- Bibliography ---66\usepackage[authoryear,round,semicolon]{natbib}67\bibliographystyle{aer}6869% --- Captions ---70\usepackage[71 font = small,72 labelfont = bf,73 labelsep = period,74 justification = justified,75 singlelinecheck = false76]{caption}7778% --- Headers & Footers ---79\usepackage{fancyhdr}80\pagestyle{fancy}81\fancyhf{}82\renewcommand{\headrulewidth}{0pt}83\fancyfoot[C]{\thepage}8485% --- Section Formatting ---86\usepackage{titlesec}87\titleformat{\section}{\large\bfseries}{\thesection.}{0.5em}{}88\titleformat{\subsection}{\normalsize\bfseries}{\thesubsection.}{0.5em}{}89\titleformat{\subsubsection}{\normalsize\itshape}{\thesubsubsection.}{0.5em}{}9091% --- Appendix Support ---92\usepackage[toc,page]{appendix}9394% --- Paper-specific ---95\sisetup{group-minimum-digits=4, group-separator={,}}96\newcommand{\tstat}[1]{{\footnotesize(\textit{t}=#1)}}97\newcommand{\tablelegend}[1]{\par\vspace{0.25em}\begin{minipage}{\linewidth}\footnotesize\textit{Notes:} #1\end{minipage}}98% Generated table fragments carry their own \footnotesize notes paragraph after the tabular.99% Scaling the whole fragment with \adjustbox would put the notes on one scaled line, so every100% tabular of the document is wrapped, by an etoolbox hook, in adjustbox{max width=\textwidth}:101% a tabular wider than the text block is shrunk, a narrower one is untouched, and the notes102% paragraph is typeset at \textwidth. \widetable is kept as a marker for the fragments that103% needed scaling before the hook existed.104% The generated fragments wrap each tabular in a threeparttable (which redefines \tabular, so a105% hook on tabular would be bypassed); the hook is therefore attached to threeparttable. A fragment106% whose natural width exceeds \textwidth is shrunk with its notes (the exhibits agent is asked to107% narrow such fragments at generation; the hook keeps the build free of overfull boxes meanwhile).108\usepackage{etoolbox}109\BeforeBeginEnvironment{threeparttable}{\begin{adjustbox}{max width=\textwidth}}110\AfterEndEnvironment{threeparttable}{\end{adjustbox}}111\newcommand{\widetable}[1]{#1}112113% --- Misc ---114\setlength{\emergencystretch}{3em}115\usepackage{enumitem}116\setlist{nosep,leftmargin=*}117118% ============================================================================119% METADATA120% ============================================================================121\newcommand{\WPnumber}{0002}122\newcommand{\WPtitle}{Does the Language of Artificial Intelligence Move Markets?}123% Stage E note (Agent 10, 2026-11-05): the Chief Editor and two referees (ADVE-13, EDIT-16) read the124% title verb "Move" as causal while every design in the paper is associational. A title change is an125% author decision (authorization_requests.md, "Not Rule 6"); a descriptive alternative that keeps the126% subtitle would be "Is the Language of Artificial Intelligence Priced?". Not imposed here.127\newcommand{\WPsubtitle}{A Semantic Analysis of Russell~3000 SEC Filings and the Cross-Section of Stock Returns, 2010--2026}128\newcommand{\WPdate}{November 2026}129\newcommand{\WPversion}{2.1 (Russell 3000 extension, revised after peer review)}130\newcommand{\WPfunding}{Research funded by the FIRC (Fonds institutionnel de recherche et de création), Université du Québec en Outaouais.}131\newcommand{\WPabstract}{%132\begingroup\singlespacing133We measure artificial-intelligence (AI) language in the Form~10-K, 10-Q and 8-K filings of134\mnFirms{} U.S.\ firms (current S\&P~500 members and iShares Russell~3000 holdings, 2010--2026)135by sentence-transformer similarity to anchor passages, and relate the filing-year signal to136look-ahead-free forward returns over fifteen formation cohorts (\mnObs{} firm-years). On137winsorized returns the equal-weighted top-minus-bottom quintile spread is \mspreadFullW{}138percentage points per year (95\% CI \mspreadFullWCI) and the Fama--MacBeth slope \mfmComposW{}139points per standard deviation (CI \mfmComposWCI): a modest premium, robust in regression form,140fragile in sort form, and conditional on survival to October 2026. A post-ChatGPT increase141appears only among the largest thousand firms and in the 2024 cohort; the large-versus-small142contrast is insignificant (\mcontrastLarge{} points, $t=\mcontrastLargeT$) and the event-study143gradient depends on the benchmark. Disclosed AI projects extracted by a language model show no144detectable premium (minimum detectable effect \mspidAnyFirmFullMDE{} points).145\par\endgroup146}147\newcommand{\WPkeywords}{textual analysis, sentence embeddings, artificial intelligence, disclosure, cross-section of returns, Russell 3000, firm size, event study, generative AI}148\newcommand{\WPjel}{G12, G14, G17, M41, O33}149150% --- Authors ---151\newcommand{\WPauthor}{Manel Kammoun \quad Djerrycharli Tandjambianda \quad Simon-Pierre Boucher}152\newcommand{\WPaffiliation}{%153 Département des sciences administratives\\154 Université du Québec en Outaouais%155}156\newcommand{\WPemail}{%157 \href{mailto:manel.kammoun@uqo.ca}{manel.kammoun@uqo.ca} \,\textperiodcentered\,158 \href{mailto:djerrycharli.tandjambianda@uqo.ca}{djerrycharli.tandjambianda@uqo.ca} \,\textperiodcentered\,159 \href{mailto:simon-pierre.boucher@uqo.ca}{simon-pierre.boucher@uqo.ca}%160}161\newcommand{\WPaddress}{%162 Gatineau -- Pavillon Alexandre-Taché\\163 283, boulevard Alexandre-Taché\\164 Gatineau, Québec, Canada J9A 1L8%165}166167% ============================================================================168% DOCUMENT169% ============================================================================170% Number macros: tables/macros.tex (scripts/r3k_20_tables_v2.py, 442 macros from results/r3k_v2),171% sections/macros_stageE.tex (scripts/stageE_writing_macros.py: the N1 corpus counts of172% ../results/n1/corpus_macros.tex re-emitted with letter-only names, N1 construct-validity numbers,173% survivorship bounds, SPID provenance, and the committed-baseline BEFORE values \mvone...).174\input{tables/macros}175\input{sections/macros_stageE}176\begin{document}177178% --- Title Page ---179\input{sections/titlepage}180181% --- Main Body ---182\input{sections/introduction}183\input{sections/literature}184\input{sections/data}185\input{sections/methodology}186\input{sections/results}187\input{sections/robustness}188\input{sections/discussion}189\input{sections/conclusion}190191% --- References ---192\newpage193\bibliography{references}194195% --- Appendix ---196\input{appendix/appendix}197% Stage E (Agent 9, exhibits): appendix-bound and not-yet-placed exhibits, each behind an \ExhibitOnce guard (generated by scripts/r3k_20_tables_v2.py).198\input{tables/appendix_exhibits}199200\end{document}201