spb/wp17_uqo

1% Generated by scripts/r3k_20_tables_v2.py from results/r3k_v2/results.json (groups, size_neutral, contrasts) -- do not edit by hand (FIRC-0002 v2.1, Stage E exhibits).2% Placement decided at Stage E: main. \input{tables/tab_groups} on its own prints the whole float; inside an existing float wrapper only the body is printed.3\ExhibitTable{tab:groups}{\textbf{AI-composite spreads by size group and index membership, Russell~3000.} Equal-weighted Q5$-$Q1 spreads of the composite with quintiles formed within each sub-sample and cohort: full-sample spread with its Newey--West $t$ and 95\% CI over cohorts, pre- (2010--21) and post-launch (2022--24) means, the post mean leaving out each post cohort in turn, and the pooled firm-level post spread for 2022--23 only (firm-clustered $t$). Size groups are assigned each June on the corrected capitalization: the largest 1,000 firms (Russell~1000 proxy) versus the rest, and a fixed within-cohort percentile partition (largest 42\%) that keeps the group shares constant as the panel grows. The size-neutral rows form quintiles within size group and cohort over all firms.}{\scriptsize}{%4\begin{threeparttable}\setlength{\tabcolsep}{2pt}5\begin{tabular}{llrrrrrrrr}6\toprule7Sample & Returns & Firm-years & Full Q5$-$Q1 & [NW $t$] & 95\% CI & Pre & Post ($n$ = 3) & \makecell[b]{Post leaving out \\ {2022 / 2023 / 2024}} & \makecell[b]{Post 2022--23 \\ {pooled [$t$]}} \\8\midrule9Largest 1,000 (corrected cap) & wins. & 14{,}998 & +5.0 & [2.09] & [-0.5, +10.6] & +3.1 & +12.7 & +16.0 / +18.8 / +3.3 & +3.3 [1.18] \\10 & raw &  & +5.3 & [2.06] & [-0.6, +11.2] & +3.1 & +13.8 & +17.5 / +20.4 / +3.4 & +3.4 [1.19] \\11\addlinespace12Remaining firms & wins. & 12{,}048 & +3.9 & [1.19] & [-3.0, +10.7] & +4.0 & +3.5 & +11.3 / +2.5 / -3.1 & -3.0 [-0.77] \\13 & raw &  & +7.6 & [1.89] & [-1.2, +16.5] & +7.8 & +7.0 & +18.2 / -0.1 / +2.9 & +3.2 [0.34] \\14\addlinespace15Largest 42\% within cohort & wins. & 11{,}356 & +5.9 & [2.30] & [+0.3, +11.5] & +4.2 & +12.8 & +16.2 / +18.5 / +3.6 & +3.5 [1.23] \\16 & raw &  & +6.2 & [2.27] & [+0.2, +12.1] & +4.2 & +13.8 & +17.7 / +20.1 / +3.6 & +3.6 [1.24] \\17\addlinespace18Remaining 58\% & wins. & 15{,}690 & +4.1 & [1.57] & [-1.8, +10.1] & +4.3 & +3.6 & +11.2 / +2.9 / -3.3 & -3.2 [-0.86] \\19 & raw &  & +7.0 & [2.04] & [-0.7, +14.7] & +7.0 & +7.0 & +17.9 / +0.4 / +2.6 & +2.7 [0.30] \\20\addlinespace21S\&P 500 members & wins. & 6{,}719 & +6.5 & [2.52] & [-0.1, +13.1] & +4.4 & +14.7 & +14.4 / +25.4 / +4.2 & +4.1 [0.82] \\22 & raw &  & +6.9 & [2.55] & [+0.0, +13.8] & +4.8 & +15.3 & +16.2 / +26.4 / +3.3 & +3.3 [0.60] \\23\addlinespace24Non-members & wins. & 20{,}635 & +3.0 & [1.40] & [-2.1, +8.1] & +2.8 & +4.0 & +10.8 / +3.1 / -2.1 & -2.0 [-0.67] \\25 & raw &  & +5.1 & [1.91] & [-1.1, +11.3] & +4.8 & +6.4 & +15.7 / +1.4 / +2.2 & +2.4 [0.36] \\26\addlinespace27Size-neutral quintiles (all) & wins. & 27{,}354 & +4.9 & [2.19] & [-0.1, +9.8] & +4.2 & +7.5 & -- & -- \\28 & raw &  & +6.6 & [2.54] & [+1.1, +12.2] & +5.8 & +9.9 & -- & -- \\29\bottomrule30\end{tabular}31\begin{tablenotes}[flushleft]\scriptsize32\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. Firm-years without a capitalization (308) belong to no size group; 7.6\% of firm-years change group relative to the committed v2.0 capitalization. The post-launch CIs over three cohorts are wide (largest 1,000, wins.: [-28.4, +53.7]; remaining: [-32.7, +39.8]; Figure~\ref{fig:sizegroups}). The large-versus-small post-launch difference is tested in Table~\ref{tab:contrasts}: hi $\times$ post $\times$ largest-1,000 = +10.8 pp (firm $t$ 1.83, two-way 1.55, wild $p$ 0.22, MDE 16.5 pp); hi $\times$ post $\times$ member = +8.6 pp ($t$ 1.39 / 1.07). Post FF6 alphas of the sub-sample monthly long--shorts (\%/yr, [$t$]): largest 1,000 +1.85 [0.59], remaining +2.89 [0.49], S\&P members +1.15 [0.26]. Firms per group and cohort: Table~\ref{tab:coverage}.33\end{tablenotes}34\end{threeparttable}}35