Is inclusion of the words al or artificial intelligence in 10-K and 10-Q reports enough to cause abnormal returns

Abstract

Many factors cause abnormal returns among stocks. The rise of news coverage on Artificial Intelligence (aka AI) and the inclusion of these terms in 10-K and 10-Q reports in recent years raises the question, does inclusion of these terms in 10-K and 10-Q reports lead to abnormal returns among companies? To investigate this question 10-K and 10-Q reports, both those mentioning and not mentioning AI and/or Artificial Intelligence, from 695 and 507 companies respectively were collected along with other relevant company information. Ultimately these terms held no significant impact on abnormal returns.