ChatGPT与公司政策-英

NBER WORKING PAPER SERIESCHATGPT AND CORPORATE POLICIESManish JhaJialin QianMichael WeberBaozhong YangWorking Paper 32161http://www.nber.org/papers/w32161NATIONAL BUREAU OF ECONOMIC RESEARCH1050 Massachusetts AvenueCambridge, MA 02138February 2024We have nothing to disclose. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.© 2024 by Manish Jha, Jialin Qian, Michael Weber, and Baozhong Yang. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source.ChatGPT and Corporate PoliciesManish Jha, Jialin Qian, Michael Weber, and Baozhong YangNBER Working Paper No. 32161February 2024JEL No. C81,E22,G14,G31,G32,O33ABSTRACTWe 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.Manish JhaGeorgia State University35 Broad Street, Suite 1241Atlanta, GA 30303 mjha@gsu.eduJialin QianGeorgia State Universityjqian5@gsu.eduMichael WeberBooth School of BusinessUniversity of Chicago5807 South Woodlawn AvenueChicago, IL 60637and NBERmichael.weber@chicagobooth.eduBaozhong YangJ. Mack Robinson College of Business35 Broad Street, Suite 1243Atlanta, GA 30303bzyang@gsu.edu1.IntroductionUnderstanding corporate policies is central to corporate finance. Investment policies, in par-ticular, are key to corporate growth and aggregate fluctuations, with aggregate investment beingthe most volatile component of GDP (McConnell and Muscarella, 1985; Titman, Wei, and Xie,2004; Bolton, Chen, and Wang, 2013). According to the neoclassical q-theory, Tobin’s q shouldbe a sufficient statistic for describing firms’ investment opportunities and policies (Hayashi,1982; Peters and Taylor, 2017). Nonetheless, private information such as the expectations andplans of corporate managers may not yet be fully incorporated into market prices, even if themarket is mostly efficient. Such information, in general, is not available for all firms, despite theavailability and usefulne