The Cross-Section of Stock Returns and AI Exposure

Nicola Borri, Yukun Liu and Aleh Tsyvinski

Papers from arXiv.org

Abstract: We study 380 trillion tokens of realized AI consumption across more than four hundred LLMs. We build a high-frequency AI factor and show that a long-short strategy based on firms' AI exposure earns significantly positive returns. The average strategy return is larger based on intensive, frontier-oriented AI consumption but smaller based on casual or open-weight usage. Internationally, the return spread is significant in developed countries but insignificant in emerging markets. Examining occupational AI exposure, we find more positive exposure in occupations intensive in nonroutine interactive tasks and more negative exposure in those intensive in nonroutine analytical tasks.

Date: 2026-06, Revised 2026-09
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