spb/wp17_uqo

1\begin{table}[H]\centering2\caption{Additional Robustness: Signal Composition, Entrants, Break Definition, and Sector Controls}\label{tab:reviewrobust}3\footnotesize4\begin{tabular}{@{}p{7.1cm}ccc@{}}\toprule5& Pre (2010--21) & Post (2022--24) & Cohorts 2022 / 23 / 24 \\\midrule6\multicolumn{4}{l}{\textit{Panel A. Composition of the text signal}}\\7Baseline composite (all scored filings) & +2.5 \tstat{1.58} & +14.6 \tstat{2.07} & +9.3 / -4.0 / +38.4 \\88-K-only composite & +1.6 \tstat{1.14} & +16.3 \tstat{2.10} & +6.3 / +1.3 / +41.3 \\9Baseline, 84 firms with scored 10-Qs excluded & +0.6 \tstat{0.34} & +15.0 \tstat{1.96} & +5.7 / -0.5 / +39.8 \\10\midrule\multicolumn{4}{l}{\textit{Panel B. Entrants and survivorship}}\\11Seasoned firms (prices since July 2009; 416 firms) & +1.0 \tstat{0.61} & +17.3 \tstat{2.36} & +9.1 / +1.4 / +41.3 \\12Firms listed at least 36 months at formation & +2.8 \tstat{2.26} & +14.9 \tstat{2.11} & +7.7 / -1.2 / +38.3 \\13\midrule\multicolumn{4}{l}{\textit{Panel C. Definition of the break}}\\14Pre-period ends in 2020 (2021 cohort dropped) & +2.0 \tstat{1.17} & --- & --- \\15Post-period starts in 2021 (cohorts 21 / 22 / 23 / 24) & --- & +12.7 \tstat{2.24} & +7.1 / +9.3 / -4.0 / +38.4 \\16\midrule\multicolumn{4}{l}{\textit{Panel D. Sector controls (slope per cross-sectional SD of the composite, \%)}}\\17Fama--MacBeth, size, momentum, volatility controls & +0.65 \tstat{1.77} & +5.49 \tstat{2.00} & --- \\18Fama--MacBeth, adding GICS-sector dummies & +0.53 \tstat{2.54} & +2.94 \tstat{1.36} & +1.3 / -2.7 / +10.2 \\19Pooled OLS, year FE, firm-clustered SE & +0.43 \tstat{1.12} & +2.85 \tstat{2.76} & --- \\20Pooled OLS, sector~$\times$~year FE, firm-clustered SE & +0.32 \tstat{0.83} & +1.27 \tstat{1.22} & --- \\21\bottomrule22\end{tabular}23\tablelegend{Panels~A--C report the equal-weighted Q5$-$Q1 forward-return spread on the AI composite (percent per year, Newey--West three-lag $t$-statistics on the annual spreads in parentheses) with the cohort-by-cohort post-period values in the last column. Panel~A rebuilds the composite from Form 8-K filings only (\texttt{data/processed/filing\_type\_scores.parquet}) and, alternatively, drops the 84 tickers whose 10-Q filings were scored (Table~\ref{tab:corpus}). Panel~B restricts the universe to firms with Yahoo Finance prices since July 2009, which removes later listings such as Uber, Palantir or Airbnb, and to firm-years with at least 36 months of price history at formation. Panel~C moves the 2021 cohort, whose July 2022--June 2023 holding period straddles the ChatGPT launch, out of the pre-period or into the post-period. Panel~D reports the average annual cross-sectional slope on the composite (Fama--MacBeth) with and without GICS-sector dummies, and pooled regressions of the winsorized forward return on the composite and controls with year or sector-by-year fixed effects and firm-clustered standard errors. Source: \texttt{scripts/11\_review\_reanalysis.py}.}24\end{table}