spb/wp17_uqo

1% Generated by scripts/r3k_20_tables_v2.py from results/r3k_v2/results2.json (cohorts*, placebo_breaks), results_surv.json (then_members_present) -- do not edit by hand (FIRC-0002 v2.1, Stage E exhibits).2% Placement decided at Stage E: main. \input{tables/tab_cohorts} on its own prints the whole float; inside an existing float wrapper only the body is printed.3\ExhibitTable{tab:cohorts}{\textbf{Cohort-by-cohort spreads of the AI composite and tests of a 2022 break, Russell~3000.} Panel A: equal-weighted Q5$-$Q1 forward-return spread of the composite for each formation cohort (raw, within-year winsorized, median difference), the same spread restricted to firms that were IWV constituents at formation (Wayback captures exist from 2019 only), and the pre- and post-launch means with 95\% $t$-intervals and leave-one-out post means. Panel B: an exact permutation test of the 2022--24 block against every three-cohort subset, the contiguous-block comparison, the rank of 2022 among the 10 candidate break years, and the Andrews sup-Wald test for a mean shift in the cohort series (simulated finite-sample $p$).}{\scriptsize}{%4\begin{threeparttable}\setlength{\tabcolsep}{3pt}5\begin{tabular}{lrrrl}6\toprule7\multicolumn{5}{@{}l}{\textit{Panel A: equal-weighted Q5$-$Q1 spread of the composite by formation cohort (pp)}} \\8Cohort & raw & wins. & median & Then-IWV-members only (wins.) \\9\midrule102010 & -6.5 & -7.6 & -9.9 & -- \\112011 & +0.3 & +0.1 & -3.2 & -- \\122012 & +9.4 & +7.9 & +5.1 & -- \\132013 & -3.4 & -3.5 & -2.4 & -- \\142014 & +1.7 & +0.9 & -4.3 & -- \\152015 & +1.5 & +1.2 & -3.8 & -- \\162016 & +6.7 & +7.1 & +8.2 & -- \\172017 & +9.2 & +8.7 & +7.9 & -- \\182018 & +21.4 & +19.0 & +18.0 & +20.4 (86\% members) \\192019 & +11.6 & +1.4 & -1.7 & +4.2 (88\% members) \\202020 & -7.4 & -6.6 & -10.2 & -6.7 (84\% members) \\212021 & +12.6 & +12.1 & +12.4 & +14.4 (82\% members) \\222022 & -6.7 & -5.0 & -5.6 & -2.9 (88\% members) \\232023 & +11.8 & +3.1 & -0.4 & +4.2 (90\% members) \\242024 & +20.2 & +19.9 & -2.2 & +16.4 (94\% members) \\25\midrule26Pre mean (2010--21), 95\% CI & +4.8 [-0.7, +10.2] & +3.4 [-1.6, +8.4] & +1.4 & \\27Post mean (2022--24), 95\% CI & +8.5 [-25.8, +42.7] & +6.0 [-25.5, +37.6] & -2.7 & \\28Post mean leaving out 2022 / 2023 / 2024 & +16.0 / +6.8 / +2.6 & +11.5 / +7.5 / -0.9 & -1.3 / -3.9 / -3.0 & \\29\midrule30\multicolumn{5}{@{}l}{\textit{Panel B: is the 2022--24 block unusual? (composite)}} \\31Test & \multicolumn{2}{l}{raw} & \multicolumn{2}{l}{wins.} \\32\midrule33\multicolumn{1}{>{\raggedright\arraybackslash}p{0.3\textwidth}}{Permutation $p$ (one-sided), 2022--24 vs all 455 three-cohort subsets (rank)} & \multicolumn{2}{l}{0.28 (rank 126)} & \multicolumn{2}{l}{0.31 (rank 141)} \\34\multicolumn{1}{>{\raggedright\arraybackslash}p{0.3\textwidth}}{Contiguous three-cohort blocks with a higher mean than 2022--24} & \multicolumn{2}{l}{3 of 12} & \multicolumn{2}{l}{2 of 12} \\35\multicolumn{1}{>{\raggedright\arraybackslash}p{0.3\textwidth}}{Rank of 2022 among 10 candidate break years (post $-$ pre mean)} & \multicolumn{2}{l}{8 of 10} & \multicolumn{2}{l}{8 of 10} \\36\multicolumn{1}{>{\raggedright\arraybackslash}p{0.3\textwidth}}{sup-Wald mean-shift statistic, Andrews (1993), 15\% trim (simulated $p$)} & \multicolumn{2}{l}{3.43 (0.43)} & \multicolumn{2}{l}{2.57 (0.59)} \\37\bottomrule38\end{tabular}39\begin{tablenotes}[flushleft]\scriptsize40\item \emph{Notes:} Inference: NW $t$ = Newey--West (Bartlett kernel, 3 lags) $t$-statistic of the mean of the annual cohort series; plain $t$ = i.i.d. $t$ over cohorts; 95\% CI = $t$-interval over cohorts (the post period has 3 cohorts, so its CIs are wide by construction). Returns are the look-ahead-free twelve-month forward returns (July $Y{+}1$--June $Y{+}2$); `wins.' = 1/99 winsorized within the formation year; `median' = median spread within cohort; `raw' = unwinsorized. Rebuilt panel: $N$ = 27{,}354 firm-years, 2{,}375 firms, keyed on CIK $\times$ year, cleaned returns, corrected market capitalization. No significance stars are used. Then-members-only spreads use the IWV holdings capture nearest the formation month (results/r3k\_v2/results\_surv.json). The permutation $p$ is the share of the 455 three-cohort subsets whose mean spread is at least the 2022--24 mean; the sup-Wald $p$ is from 20,000 simulated series of length 15. Economic reading: the post mean leaving out 2024 (wins.\ -0.9 pp) is at the pre mean (+3.4); none of the break tests rejects at conventional levels.41\end{tablenotes}42\end{threeparttable}}43