Stock Market Reactions to OpenAI Model Launches : A cross-market event study of the S&P 500 and OMX Stockholm

Sammanfattning

Artificial intelligence has emerged as one of the most transformative technological forces of the modern era. Since OpenAI's release in late 2022 the evolvement around AI has been vast as more consumers and firms integrate it to be more efficient. As frontier AI capabilities advance rapidly, understanding how capital markets process and price these developments have become increasingly relevant for investors and researchers. This study examines new OpenAI releases and whether it generated significant short term abnormal returns among firms in the finance, telecom and IT sectors listed on the S&P 500 and OMX Stockholm. The study also investigates whether reactions differ across the two markets. Through a quantitative analysis of such OpenAI releases between 2022 and 2025, the study investigates the impact of such releases on short-term cumulative abnormal returns (CAR) for the two markets. Six events are examined using standard event study methodology across two event windows, [-1,+1] and [-5,+5], with abnormal returns estimated under both the CAPM and Fama French three-factor model. Cross-sectional inference is conducted using parametric t-tests, a two-sample Welch test and OLS regression with HC3 heteroscedasticity robust standard errors. The sample consists of 272 US firms and 49 Swedish firms. The results broadly support the proposition that major OpenAI releases generate statistically significant short-term abnormal returns. All the six events produced significant cumulative abnormal returns in at least one market under at least one model specification. There was no significant evidence for larger returns within the S&P 500 when comparing to OMX Stockholm.