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/fig7_event_car.pdf (copy in paper/figures_r3k/).2% \input{figures_r3k/fig7_event_car} on its own places the float with its caption; inside an existing figure wrapper only the graphic is printed.3\ExhibitFigure{fig:event}{\textbf{Cumulative abnormal returns around the ChatGPT launch by pre-launch AI tercile.} Equal-weighted cumulative market-model abnormal returns of the three terciles of 2021-cohort AI exposure (2,215 firms; IWV market model estimated 2022-01-03..2022-10-31 (209 days)) and of the High$-$Low portfolio, from twenty trading days before the launch to 395 days after. The shaded band is $\pm 1.96\,\hat\sigma\sqrt{k}$ around the High$-$Low level on day 0, where $\hat\sigma$ is the estimation-window daily standard deviation of the High$-$Low portfolio implied by the CDA statistic (crude dependence adjustment; the band widens with the horizon $k$). All terciles drift negative because the model was estimated in the 2022 bear market; only differences between terciles are interpretable, and the one-year High$-$Low difference of +14.2 pp (CDA $t$ 2.23) depends on the benchmark (Table~\ref{tab:eventcda}).}{\includegraphics[width=\textwidth]{fig7_event_car.pdf}}4