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/fig5_fm_byyear.pdf (copy in paper/figures_r3k/).2% \input{figures_r3k/fig5_fm_byyear} on its own places the float with its caption; inside an existing figure wrapper only the graphic is printed.3\ExhibitFigure{fig:fmyear}{\textbf{Year-by-year Fama--MacBeth slopes on the AI composite, Russell~3000.} Slope of the forward twelve-month return on the within-year standardized AI composite in each annual cross-sectional regression with size, momentum and volatility controls, for the raw and the within-year winsorized return, with 95\% confidence intervals from heteroskedasticity-robust standard errors within the year. The dashed line is the time-series mean of the winsorized slopes (+1.88 pp per SD, NW $t$ 2.41; Table~\ref{tab:fmboth}). Within-year intervals do not account for the cross-cohort dependence that the Newey--West and fixed-$b$ inference of the tables addresses.}{\includegraphics[width=\textwidth]{fig5_fm_byyear.pdf}}4