The AI technology diffusion over the past decade remains less understood. In this paper, we address this question by studying the information content of the ``AI technology premium''. We construct novel, unified measures of firm-level AI exposures through product and labor channels and analyze the US stock market from 2012 to 2024. We document a significant and highly time-varying AI technology risk premium.
The product premium is positive and driven primarily by large firms, with positive shocks observed only after 2018. In contrast, the labor premium is weaker and is primarily driven by small firms. These patterns result from slow realization processes, varying investor attention, and the complex pricing of uncertainties related to AI adoption.
Consequently, our results demonstrate that AI technology adoption represents a multifaceted process characterized by evolving investor perceptions and gradual realization of potential benefits, providing crucial insights for understanding market dynamics in the AI era.
