spb/wp17_uqo

1% ============================================================================2% Appendix3% ============================================================================4\newpage5\begin{appendices}67\renewcommand{\thetable}{A\arabic{table}}8\renewcommand{\thefigure}{A\arabic{figure}}9\setcounter{table}{0}10\setcounter{figure}{0}1112\section{Variable Definitions}13\label{app:variables}1415\begin{table}[htbp]16  \centering17  \caption{Variable Definitions}18  \label{tab:app_variables}19  \small20  \begin{tabular}{@{}p{4.2cm}p{10.5cm}@{}}21    \toprule22    Variable & Definition \\23    \midrule24    AI\,Adopt (\texttt{ai\_adoption\_wmean}) & Section-weighted mean cosine similarity of a firm's 10-K text chunks to the AI-internal-adoption anchor in fiscal year $Y$. \\[4pt]25    AI\,Infra (\texttt{ai\_infrastructure\_wmean}) & Section-weighted mean similarity to the AI-compute-infrastructure anchor. \\[4pt]26    AI\,Risk (\texttt{ai\_disruption\_risk\_wmean}) & Section-weighted mean similarity to the AI-product-disruption-risk anchor. \\[4pt]27    AI\,Compos & $\tfrac12[z(\text{AI\,Adopt})+z(\text{AI\,Infra})]$, with $z$ the within-year cross-sectional standardization. \\[4pt]28    Forward return & Buy-and-hold simple return from July of $Y{+}1$ to June of $Y{+}2$ (adjusted close, dividends reinvested). \\[4pt]29    Market-adjusted return & Forward return minus the contemporaneous SPY return. \\[4pt]30    Size & Natural logarithm of the market-cap proxy (latest shares outstanding $\times$ price) at formation. \\[4pt]31    Momentum & Own return over the 12 months ending at formation, skipping the last month. \\[4pt]32    Volatility & Annualized standard deviation of monthly returns over the trailing 12 months. \\[4pt]33    Post & Indicator equal to one for formation (fiscal) years $\ge 2022$. \\[4pt]34    CAR & Cumulative market-model abnormal return; market model estimated Jan--Oct 2022, event window Nov 2022--Jun 2024. \\35    \bottomrule36  \end{tabular}37\end{table}3839\section{Data Sources and Reproducibility}40\label{app:repro}4142Semantic factors are from the EDGAR Research Database (UQO), which embeds 10-K text with the43\texttt{all-MiniLM-L6-v2} sentence transformer and scores each chunk by cosine similarity to curated44anchor passages. Equity prices (monthly and daily) are from Yahoo Finance; the Fama--French five45factors, the momentum factor, and the risk-free rate are from the Kenneth R.\ French data library. All46return tests use look-ahead-free July-formation forward returns, with signals taken from the 10-K of47the preceding fiscal year. The analysis pipeline downloads prices, builds the merged firm-year panel,48runs the portfolio sorts, factor regressions, panel and Fama--MacBeth estimators, the49difference-in-differences specifications, and the market-model event study, and emits all figures and50tables programmatically; numerical results are serialized to machine-readable result files so that51every number reported in the paper is reproducible from source.5253\end{appendices}54