AI INVESTOR ATTENTION, INFORMATION SHOCKS, AND EQUITY RETURN DYNAMICS: FIRM-LEVEL EVIDENCE FROM THE ARTIFICIAL INTELLIGENCE ECOSYSTEM
Keywords:
Artificial Intelligence; Investor Attention; Equity Returns; Information Shocks; Behavioral Finance; Panel Data; Financial Markets; AI EcosystemAbstract
Purpose: This study examines the influence of AI-related investor attention and AI information events on equity return dynamics among leading firms operating within the artificial intelligence ecosystem.
Design/methodology/approach: A quantitative explanatory design was employed using a balanced panel dataset of five AI-oriented firms (Alphabet, NVIDIA, Microsoft, Meta, and Amazon) with 1,040 weekly observations from 2022–2025. AI-related investor attention was measured using Google Trends Search Volume Index (SVI), while AI information events were represented through a binary event indicator. Fixed Effects panel estimation with Driscoll–Kraay robust standard errors was applied.
Findings: Results indicate that AI investor attention positively but weakly influences stock returns (β = 0.00012, p = 0.087), whereas AI information events remain statistically insignificant. Interaction effects are also insignificant, suggesting that continuous attention signals explain return variation more effectively than isolated announcements.
Research limitations/implications: Findings are constrained by a limited sample, the use of a Google Trends proxy, and a specific AI adoption period.
Originality/value: This study integrates behavioral finance and information-based asset pricing within a unified framework and provides firm-level evidence on the joint effects of investor attention and AI information environments.
