Narrative Premia at a Global LLM Shock: Cross-Market Repricing of Corporate Disclosure in China and the United States

Around the January 27, 2025 DeepSeek attention date, we find that pre-shock STRICT LLM exposure is associated with CAR[−1,+1] of 0.090 in China A-shares and 0.025 in the United States. China’s board-demeaned CAR remains 0.091. Within-listing-board decompositions locate a firm-level association in China and a between-SIC2 sector-level association in the US, and Gelbach attribution assigns the US SIC2 change to industry. Date-benchmarked inference places China’s slope outside the pre-event distribution. Post-shock monthly slopes are near zero. China’s downside share flips positive and loads on policy/legal disclosure. Richardson investment residuals rise in China, and US operating cash flow co-moves with exposure.