spb/wp17_uqo

1% Generated by scripts/r3k_20_tables_v2.py from results/r3k_v2/results_event.json (by_benchmark, ff6_calendar_time, placebo_launches, placebo_summary, mht_event) -- do not edit by hand (FIRC-0002 v2.1, Stage E exhibits).2% Placement decided at Stage E: main. \input{tables/tab_event_cda} on its own prints the whole float; inside an existing float wrapper only the body is printed.3\ExhibitTable{tab:eventcda}{\textbf{Benchmark dependence of the one-year event-study gradient and placebo launch dates.} Panel A: the one-year High$-$Low abnormal return of the pre-launch AI terciles and its dependence-robust CDA $t$ under six benchmarks: the IWV market model of Table~\ref{tab:event}, a beta-only adjustment, the market-adjusted return, a market model estimated over calendar 2021, a size $\times$ momentum matched benchmark (5 $\times$ 5 cells of the 2021-cohort panel) and a Fama--French five-factor-plus-momentum calendar-time regression of the daily High$-$Low portfolio (alpha $\times$ 250 days, HAC $t$). Panel B: the same design re-run with a fictitious launch on 30 November of 2015--2021. Every cell is dependence-robust (daily High$-$Low portfolio).}{\scriptsize}{%4\begin{threeparttable}\setlength{\tabcolsep}{3pt}5\begin{tabular}{llrrrrrr}6\toprule7Benchmark & Statistic & Full & Largest 1,000 & Remaining & S\&P 500 & Non-S\&P & \makecell[b]{Within-size \\ {large / small}} \\8\midrule9\multicolumn{8}{@{}l}{\textit{Panel A: one-year High$-$Low abnormal return (pp) and CDA $t$ by benchmark and sub-sample}} \\10(a) IWV market model, est.\ Jan--Oct 2022 & H$-$L (pp) & +14.20 & +20.03 & +12.23 & +12.06 & +14.48 & 20.70 / 11.66 \\11 & CDA $t$ & 2.23 & 3.02 & 1.51 & 1.96 & 1.85 & 2.97 / 1.48 \\12\addlinespace13(b) Beta-only, $r - \hat\beta m$ & H$-$L (pp) & +8.63 & +7.40 & +11.61 & +7.39 & +8.53 & 8.62 / 11.05 \\14 & CDA $t$ & 1.36 & 1.12 & 1.43 & 1.20 & 1.09 & 1.24 / 1.41 \\15\addlinespace16(c) Market-adjusted, $r - m$ & H$-$L (pp) & +10.84 & +9.33 & +14.29 & +8.58 & +11.32 & 10.82 / 13.87 \\17 & CDA $t$ & 1.40 & 1.22 & 1.47 & 1.30 & 1.18 & 1.31 / 1.43 \\18\addlinespace19(d) Market model estimated over 2021 & H$-$L (pp) & +20.12 & +15.69 & +30.21 & +9.21 & +24.16 & 16.32 / 28.98 \\20 & CDA $t$ & 2.90 & 2.09 & 4.10 & 1.54 & 3.23 & 2.14 / 4.05 \\21\addlinespace22(e) Size $\times$ momentum matched (5 $\times$ 5) & H$-$L (pp) & +10.72 & +7.93 & +13.60 & +8.02 & +10.58 & 9.31 / 13.19 \\23 & CDA $t$ & 1.81 & 1.38 & 1.89 & 1.30 & 1.59 & 1.56 / 1.89 \\24\addlinespace25(f) FF5 + MOM calendar-time, 250 days & $\alpha \times$ days (pp) & +4.89 & +2.21 & +10.94 & +2.03 & +6.57 & \\26 & HAC $t$ & 1.20 & 0.52 & 1.86 & 0.50 & 1.37 & \\27\midrule28\multicolumn{8}{@{}l}{\textit{Panel B: placebo launch dates (30 November of each year, same design, benchmark (a))}} \\29Launch year & Firms & \multicolumn{2}{l}{Full: H$-$L (pp) / CDA $t$} & \multicolumn{2}{l}{Largest 1,000: H$-$L / CDA $t$} & \multicolumn{2}{l}{Remaining: H$-$L / CDA $t$} \\30\midrule312015 & 1{,}571 & \multicolumn{2}{l}{+5.8 / 1.61} & \multicolumn{2}{l}{+2.3 / 0.64} & \multicolumn{2}{l}{+12.7 / 2.16} \\322016 & 1{,}641 & \multicolumn{2}{l}{-2.4 / -0.70} & \multicolumn{2}{l}{-2.3 / -0.62} & \multicolumn{2}{l}{-1.8 / -0.33} \\332017 & 1{,}701 & \multicolumn{2}{l}{-5.1 / -1.11} & \multicolumn{2}{l}{-7.8 / -1.77} & \multicolumn{2}{l}{+0.7 / 0.11} \\342018 & 1{,}770 & \multicolumn{2}{l}{-3.2 / -0.65} & \multicolumn{2}{l}{-9.1 / -1.76} & \multicolumn{2}{l}{+3.9 / 0.62} \\352019 & 1{,}849 & \multicolumn{2}{l}{+7.3 / 1.59} & \multicolumn{2}{l}{+5.8 / 1.34} & \multicolumn{2}{l}{+9.9 / 1.58} \\362020 & 1{,}931 & \multicolumn{2}{l}{-13.2 / -1.06} & \multicolumn{2}{l}{-14.1 / -1.21} & \multicolumn{2}{l}{-9.8 / -0.74} \\372021 & 2{,}056 & \multicolumn{2}{l}{+5.5 / 0.78} & \multicolumn{2}{l}{-5.5 / -0.74} & \multicolumn{2}{l}{+18.0 / 2.64} \\382022 (ChatGPT) & 2{,}215 & \multicolumn{2}{l}{+14.2 / 2.23} & \multicolumn{2}{l}{+20.0 / 3.02} & \multicolumn{2}{l}{+12.2 / 1.51} \\39\bottomrule40\end{tabular}41\begin{tablenotes}[flushleft]\scriptsize42\item \emph{Notes:} The largest-1,000 gradient is significant only under the market models (a) and (d); under (b), (c), (e) and (f) its CDA $t$ is below 2, so the event-study evidence for a large-cap re-rating is benchmark-dependent and is reported as such. Holm-adjusted $p$ over the 35 sub-sample $\times$ horizon CDA statistics of benchmark (a): smallest 0.088 (BH: 0.036). The 2022 launch ranks 1 of 8 by full-sample H$-$L and 1 by CDA $t$ among the eight launch dates; the placebo $t$'s range over -1.11 to 1.61. A book-to-market match was not run (book equity not in the panel). Source: results/r3k\_v2/results\_event.json.43\end{tablenotes}44\end{threeparttable}}45