Baozhong Yang is H. Talmage Dobbs Jr Chair
in Finance and Professor of Finance in Robinson College of Business, Georgia
State University.
Website: https://sites.google.com/view/baozhongyang/
Paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4521096
Abstract: 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. High-investment-score firms
experience significant negative future abnormal returns. We demonstrate
ChatGPT’s applicability to measure other policies, such as dividends and
employment.
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