When AI narratives shake the market: AI-washing and idiosyncratic stock return volatility in China
Dan Luo, Jiaqi Bai
Hangzhou Normal University
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摘要与影响
This paper examines whether AI-washing destabilizes stock prices. Using 28,107 firm-year observations for Chinese A-share-listed firms from 2010 to 2024, we measure AI-washing as AI narrative intensity unexplained by observable AI investment. Firm- and year-fixed-effects estimates associate AI-washing with higher idiosyncratic volatility one year later. Results survive alternative measures, matching, entropy balancing, instrumental-variable estimation and a reverse-time placebo. Evidence is consistent with an analyst-coverage amplification channel. The association is stronger in competitive industries and, more tentatively, among firms with fewer R&D personnel. The findings identify difficult-to-verify AI narratives as a source of firm-specific pricing uncertainty.
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学术脉络
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经济 / 管理Financial Markets and Investment Strategies
Financial Analysis and Corporate Governance · Stock Market Forecasting Methods