Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 13, 2023 erstellt
Description:
We apply advanced natural language processing to develop a dynamic dictionary of artificial intelligence (AI). Using this dictionary, we construct a real-time index of AI attention from more than 3,000,000 New York Times articles. Firms having high exposures to AI have higher returns one month ahead and lower returns five to seven months ahead, suggesting initial overreactions to AI news and subsequent corrections. The connection between AI exposures and future returns is concentrated among non-big stocks, indicating that small AI stocks are more difficult to value. A long-short AI exposure portfolio among non-big stocks generates significant annual alphas of 3% against benchmark multifactor models