spb/wp17_uqo

1% Generated by scripts/r3k_20_tables_v2.py from results/r3k_v2/results.json (samples.*.fm, fama_macbeth) -- do not edit by hand (FIRC-0002 v2.1, Stage E exhibits).2% Placement decided at Stage E: main. \input{tables/tab_fm_both} on its own prints the whole float; inside an existing float wrapper only the body is printed.3\ExhibitTable{tab:fmboth}{\textbf{Fama--MacBeth regressions of the forward return on AI language, Russell~3000 and S\&P~500.} Time-series average of 15 annual cross-sectional slopes of the forward twelve-month return on the standardized signal with size, momentum and volatility controls, in percentage points per standard deviation. The headline row of each regressor uses the within-year winsorized return; the raw row shows the tail sensitivity. $t$-statistics in brackets: NW = Newey--West (3 lags) on the series of annual slopes, plain = i.i.d.; the 95\% CI is the $t$-interval over the annual slopes.}{\scriptsize}{%4\begin{threeparttable}\setlength{\tabcolsep}{3pt}5\begin{tabular}{llrrrrrrr}6\toprule7Regressor & Returns & \multicolumn{4}{c}{Russell 3000} & \multicolumn{3}{c}{S\&P 500 members} \\8\cmidrule(lr){3-6}\cmidrule(lr){7-9} & & Slope (pp/SD) & [NW $t$] & [plain $t$] & 95\% CI & Slope (pp/SD) & [NW $t$] & 95\% CI \\9\midrule10AI composite & wins. & +1.88 & [2.41] & [2.51] & [+0.27, +3.49] & +1.73 & [1.94] & [-0.51, +3.97] \\11 & raw & +2.77 & [2.44] & [2.75] & [+0.61, +4.92] & +2.08 & [1.98] & [-0.49, +4.64] \\12\addlinespace13AI adoption (joint) & wins. & +0.13 & [0.11] & [0.11] & [-2.36, +2.61] & -1.25 & [-1.94] & [-3.50, +1.00] \\14 & raw & -1.28 & [-1.13] & [-1.08] & [-3.83, +1.26] & -1.57 & [-2.23] & [-3.87, +0.74] \\15\addlinespace16AI infrastructure (joint) & wins. & +0.99 & [1.09] & [1.32] & [-0.62, +2.61] & +1.27 & [1.32] & [-0.53, +3.07] \\17 & raw & +1.95 & [1.37] & [1.54] & [-0.76, +4.67] & +1.79 & [1.65] & [-0.22, +3.81] \\18\addlinespace19AI disruption risk (joint) & wins. & +0.90 & [0.57] & [0.52] & [-2.81, +4.61] & +2.01 & [2.02] & [-0.76, +4.78] \\20 & raw & +2.51 & [1.46] & [1.27] & [-1.71, +6.73] & +2.17 & [2.15] & [-0.63, +4.97] \\21\addlinespace22PC1 of three facets & wins. & +1.83 & [2.33] & [2.24] & [+0.08, +3.57] & +1.77 & [2.10] & [-0.40, +3.95] \\23 & raw & +2.80 & [2.54] & [2.72] & [+0.59, +5.00] & +2.09 & [2.14] & [-0.38, +4.57] \\24\addlinespace25Equal-form composite & wins. & +2.42 & [2.18] & [2.33] & [+0.20, +4.64] & +1.87 & [1.95] & [-0.39, +4.14] \\26 & raw & +3.50 & [2.38] & [2.58] & [+0.59, +6.41] & +2.27 & [2.09] & [-0.26, +4.81] \\27\addlinespace28SPID tech projects & wins. & -0.23 & [-0.46] & [-0.36] & [-1.63, +1.16] & -0.62 & [-0.80] & [-2.17, +0.93] \\29 & raw & +0.04 & [0.04] & [0.03] & [-2.58, +2.66] & -0.52 & [-0.65] & [-2.31, +1.27] \\30\addlinespace31Size (log cap) & wins. & -3.45 & [-3.88] & [-2.90] & [-6.00, -0.90] & -3.54 & [-12.35] & [-4.33, -2.75] \\32 & raw & -5.55 & [-4.02] & [-3.26] & [-9.19, -1.90] & -3.93 & [-10.73] & [-5.00, -2.85] \\33\addlinespace34Momentum & wins. & -1.05 & [-0.89] & [-0.63] & [-4.65, +2.55] & +0.50 & [0.74] & [-2.50, +3.49] \\35 & raw & -2.90 & [-1.94] & [-1.39] & [-7.39, +1.59] & +0.62 & [0.87] & [-2.47, +3.72] \\36\addlinespace37Volatility & wins. & +4.60 & [1.79] & [1.58] & [-1.63, +10.83] & +5.16 & [3.44] & [+1.19, +9.13] \\38 & raw & +8.06 & [2.62] & [2.22] & [+0.28, +15.85] & +6.59 & [3.36] & [+2.12, +11.07] \\39\addlinespace40\midrule41Cohorts (annual regressions) & & 15 & & & & 15 & & \\42Mean firms per cross-section & & 1{,}795 & & & & 448 & & \\43\bottomrule44\end{tabular}45\begin{tablenotes}[flushleft]\scriptsize46\item \emph{Notes:} Joint = the three facets enter one regression. The Kiefer--Vogelsang fixed-$b$ 5\% critical value for a Newey--West $t$ with 3 Bartlett lags and $T$ = 15 is 2.71 (simulated), so NW $t$-statistics between 1.96 and 2.71 are not significant at 5\% under fixed-$b$ asymptotics; the plain $t$ is the conservative reference. Economic magnitude: the Russell~3000 composite slope of +1.88 pp per SD implies a +3.8 pp difference between firms one SD above and one SD below their same-year peers. Signals re-standardized within each panel (`zz'); all controls standardized within year, size from the within-year winsorized corrected log capitalization. Year-by-year slopes: Figure~\ref{fig:fmyear}; all specifications: Table~\ref{tab:fm}.47\end{tablenotes}48\end{threeparttable}}49