spb/wp17_uqo

1% Generated by scripts/r3k_20_tables_v2.py from results/r3k_v2/results.json (samples.*.ls), results2.json (mht.deflated_sharpe) -- do not edit by hand (FIRC-0002 v2.1, Stage E exhibits).2% Placement decided at Stage E: main. \input{tables/tab_alpha_both} on its own prints the whole float; inside an existing float wrapper only the body is printed.3\ExhibitTable{tab:alphaboth}{\textbf{Monthly long--short portfolios on AI language: mean return, Sharpe ratio and factor alphas.} Equal-weighted Q5$-$Q1 portfolios selected every June from the cohort quintiles and held July--June (monthly returns, annualized). Mean and alphas in percent per year; $t$-statistics in brackets use Newey--West (HAC, 3 lags) standard errors. FF6 = Fama--French five factors plus momentum (Ken French daily factors aggregated to months). Post = months from July 2023, the first holding year that follows the ChatGPT launch cohort.}{\scriptsize}{%4\begin{threeparttable}\setlength{\tabcolsep}{3pt}5\begin{tabular}{llrrrrrrrrr}6\toprule7Signal & Universe & Months & Mean (\%/yr) & [HAC $t$] & Sharpe & FF6 $\alpha$ (\%/yr) & [$t$] & Post months & Post FF6 $\alpha$ & [$t$] \\8\midrule9AI adoption & Russell 3000 & 180 & +3.72 & [1.80] & 0.49 & +2.50 & [1.74] & 36 & -0.17 & [-0.05] \\10 & S\&P 500 & 180 & +4.91 & [2.40] & 0.65 & +3.57 & [2.08] & 36 & +2.84 & [0.58] \\11\addlinespace12AI infrastructure & Russell 3000 & 180 & +2.74 & [1.49] & 0.39 & +1.90 & [1.28] & 36 & +0.27 & [0.07] \\13 & S\&P 500 & 180 & +3.97 & [2.09] & 0.54 & +2.97 & [1.88] & 36 & +3.04 & [0.87] \\14\addlinespace15AI disruption risk & Russell 3000 & 180 & +7.76 & [2.53] & 0.73 & +7.50 & [4.91] & 36 & +12.50 & [2.79] \\16 & S\&P 500 & 180 & +6.04 & [2.69] & 0.68 & +5.15 & [3.07] & 36 & +3.54 & [0.72] \\17\addlinespace18AI composite & Russell 3000 & 180 & +3.43 & [1.67] & 0.45 & +2.20 & [1.44] & 36 & -0.27 & [-0.08] \\19 & S\&P 500 & 180 & +4.33 & [2.20] & 0.57 & +3.21 & [1.95] & 36 & +1.15 & [0.26] \\20\addlinespace21PC1 of three facets & Russell 3000 & 180 & +4.77 & [2.00] & 0.55 & +3.96 & [2.76] & 36 & +2.05 & [0.58] \\22 & S\&P 500 & 180 & +4.57 & [2.13] & 0.55 & +3.29 & [2.02] & 36 & +0.72 & [0.16] \\23\addlinespace24\bottomrule25\end{tabular}26\begin{tablenotes}[flushleft]\scriptsize27\item \emph{Notes:} Deflated Sharpe ratio of the Russell~3000 composite long--short (Bailey and L\'opez de Prado 2014; trials = 93 long--short series tried in this study, benchmark SR 0.55): full sample 0.35, pre 0.46, post 0.29 (probability that the true Sharpe ratio exceeds the multiple-testing hurdle; values below 0.95 do not clear it). Economic magnitude: the composite earns +3.43\% per year over 180 months in the Russell~3000, a Sharpe ratio of 0.45. Splice months (Table~\ref{tab:hygiene}) are set to missing. All signals and sub-periods: Table~\ref{tab:alpha}.28\end{tablenotes}29\end{threeparttable}}30