Abstract: We leverage a comprehensive dataset of firm-level AI investments to examine how firm systematic risk changes with the advent of commercial artificial intelligence (AI). Firms that invest more in AI see increases in their systematic risk, measured by equity market beta. A one-standard-deviation increase in firm-level AI investments translates into a 0.05 increase in market beta. This result is robust to the choice of asset pricing model and controlling for changes in leverage. Other technologies, such as IT and robotics, are not predictive of changes in beta. Furthermore, the results cannot be explained by either increased correlation with the tech sector or by simple within-industry concentration: AI-investing firms experience similar increases in comovement in equity returns with their own industry, with the tech sector, and with other industries. This increased systematic risk appears to be benign: AI-investing firms experience reductions in cash flow volatility, and the increases in their market betas concentrate on the upside (during good market conditions). Overall, our findings suggest a novel market implication of new technologies: they do not only affect firm growth but also change firms' risk profiles.