2024/09/26 by Manish Jha, Jha, Manish, Jialin Qian +5 · 1 citation
Business, Management and Accounting · Medicine · #Artificial Intelligence in Healthcare and Education #Computational Finance (q-fin.CP) #FOS: Economics and business #FinTech, Crowdfunding, Digital Finance
paper · pdf · doi:10.48550/arxiv.2409.17933
openalex publication_date 2024/09/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We create a firm-level ChatGPT investment score, based on conference calls, that measures managers' anticipated changes in capital expenditures. We validate the score with interpretable textual content and its strong correlation with CFO survey responses. The investment score predicts future capital expenditure for up to nine quarters, controlling for Tobin's q and other determinants, implying the investment score provides incremental information about firms' future investment opportunities. The investment score also separately forecasts future total, intangible, and R&D investments. Consistent with theoretical predictions, high-investment-score firms experience significant positive short-term returns upon disclosure, and negative long-run future abnormal returns. We demonstrate ChatGPT's applicability to measure other policies, such as dividends and employment.