spb/wp17_uqo

1% Generated by scripts/r3k_19_figures_v2.py -- do not edit by hand (FIRC-0002 v2.1, Stage E exhibits). Figure file: figures/r3k_v2/fig15_spec_curve.pdf (copy in paper/figures_r3k/).2% \input{figures_r3k/fig15_spec_curve} on its own places the float with its caption; inside an existing figure wrapper only the graphic is printed.3\ExhibitFigure{fig:speccurve}{\textbf{Specification curve of the AI-composite spread, Russell~3000.} Top: the equal- or value-weighted Q5$-$Q1 spread of the AI composite in each of the 1,152 specifications obtained by crossing the universe (all firms, excluding the 500 largest, largest 1,000, remaining), the return treatment (raw, 1/99 or 5/95 winsorized within year, median), the weighting, the horizon, the filing form and the chunk aggregation, ranked by size; thin bars are $\pm 1.96$ Newey--West standard errors over cohorts; 84\% of specifications are positive, 39\% positive with $|$NW $t| > 1.96$ (35\% with the plain $t$), median +3.9 pp, interquartile range [+0.7, +8.5]. Bottom: the specification choices of each ranked estimate. Specifications are not independent (they share cohorts and firms), so the share significant is descriptive, not a test.}{\includegraphics[width=\textwidth]{fig15_spec_curve.pdf}}4