spb/wp17_uqo

1% Generated by scripts/r3k_20_tables_v2.py from results/r3k_v2/results.json (fama_macbeth) -- do not edit by hand (FIRC-0002 v2.1, Stage E exhibits).2% Placement decided at Stage E: appendix. \input{tables/tab_fm} on its own prints the whole float; inside an existing float wrapper only the body is printed.3\ExhibitTable{tab:fm}{\textbf{Fama--MacBeth regressions, all specifications, Russell~3000 universe.} Companion to Table~\ref{tab:fmboth}: time-series mean of the 15 annual cross-sectional slopes (pp per SD, or pp per unit for the 0/1 indicator) of the forward return on each signal with size, momentum and volatility controls, for the within-year winsorized and the raw return.}{\scriptsize}{%4\begin{threeparttable}\setlength{\tabcolsep}{4pt}5\begin{tabular}{llrrrr}6\toprule7Regressor & Returns & Slope (pp/SD) & [NW $t$] & [plain $t$] & 95\% CI \\8\midrule9AI composite & wins. & +1.88 & [2.41] & [2.51] & [+0.27, +3.49] \\10 & raw & +2.77 & [2.44] & [2.75] & [+0.61, +4.92] \\11\addlinespace12AI adoption (joint) & wins. & +0.13 & [0.11] & [0.11] & [-2.36, +2.61] \\13 & raw & -1.28 & [-1.13] & [-1.08] & [-3.83, +1.26] \\14\addlinespace15AI infrastructure (joint) & wins. & +0.99 & [1.09] & [1.32] & [-0.62, +2.61] \\16 & raw & +1.95 & [1.37] & [1.54] & [-0.76, +4.67] \\17\addlinespace18AI disruption risk (joint) & wins. & +0.90 & [0.57] & [0.52] & [-2.81, +4.61] \\19 & raw & +2.51 & [1.46] & [1.27] & [-1.71, +6.73] \\20\addlinespace21AI disruption risk (alone) & wins. & +1.69 & [1.93] & [1.69] & [-0.45, +3.83] \\22 & raw & +2.79 & [2.48] & [2.39] & [+0.28, +5.30] \\23\addlinespace24PC1 of three facets & wins. & +1.83 & [2.33] & [2.24] & [+0.08, +3.57] \\25 & raw & +2.80 & [2.54] & [2.72] & [+0.59, +5.00] \\26\addlinespace27Equal-form composite & wins. & +2.42 & [2.18] & [2.33] & [+0.20, +4.64] \\28 & raw & +3.50 & [2.38] & [2.58] & [+0.59, +6.41] \\29\addlinespace3010-K composite & wins. & +2.69 & [2.13] & [2.39] & [+0.27, +5.11] \\31 & raw & +3.63 & [2.28] & [2.54] & [+0.57, +6.70] \\32\addlinespace33SPID tech projects ($z$) & wins. & -0.23 & [-0.46] & [-0.36] & [-1.63, +1.16] \\34 & raw & +0.04 & [0.04] & [0.03] & [-2.58, +2.66] \\35\addlinespace36Any AI project (0/1, pp) & wins. & +1.68 & [0.45] & [0.35] & [-8.50, +11.86] \\37 & raw & +1.59 & [0.33] & [0.29] & [-10.35, +13.54] \\38\addlinespace39Cybersecurity ($z$, with composite) & wins. & +0.32 & [0.52] & [0.59] & [-0.84, +1.48] \\40 & raw & -0.05 & [-0.06] & [-0.07] & [-1.61, +1.51] \\41\addlinespace42Size & wins. & -3.45 & [-3.88] & [-2.90] & [-6.00, -0.90] \\43 & raw & -5.55 & [-4.02] & [-3.26] & [-9.19, -1.90] \\44\addlinespace45Momentum & wins. & -1.05 & [-0.89] & [-0.63] & [-4.65, +2.55] \\46 & raw & -2.90 & [-1.94] & [-1.39] & [-7.39, +1.59] \\47\addlinespace48Volatility & wins. & +4.60 & [1.79] & [1.58] & [-1.63, +10.83] \\49 & raw & +8.06 & [2.62] & [2.22] & [+0.28, +15.85] \\50\addlinespace51\midrule52Cohorts & & 15 & \multicolumn{3}{l}{mean cross-section 1{,}795 firms} \\53\bottomrule54\end{tabular}55\begin{tablenotes}[flushleft]\scriptsize56\item \emph{Notes:} NW $t$ uses 3 Bartlett lags; fixed-$b$ 5\% critical value 2.71 (simulated); plain = i.i.d.\ $t$ over the annual slopes; CI = 95\% $t$-interval over the annual slopes. The SPID $z$-score is $\log(1 + \text{mentions})$ standardized within year; `Any AI project' is the 0/1 indicator (Table~\ref{tab:spidbinary} for its minimum detectable effect).57\end{tablenotes}58\end{threeparttable}}59