Market-Perceived Artificial Intelligence: Insights from Thematic ETF Portfolio Holdings

Sammanfattning

How do financial markets identify and price firms' exposure to AI? We construct a novel market-perceived measure of U.S. firms' AI exposure using the holdings of AI-themed ETFs. We develop three measures that capture distinct dimensions of firm-level AI exposure and validate them using bidirectional evidence. AI-exposed firms underperformed non-AI peers by 1.9% around the European Parliament's formal approval of the EU AI Act and outperformed by 1.8% around the launch of ChatGPT. These effects survive 3-digit NAICS sector fixed effects and are directionally consistent with an existing fundamentals-based measure of AI exposure. Thematic ETF holdings offer a non-proprietary and easily replicable first-pass proxy for identifying AI-exposed firms, while providing a scalable framework that can be extended to future emerging market themes.