Cybersecurity Risk

Chris Florakis (), Christodoulos Louca (), Roni Michaely and Michael Weber
Additional contact information
Chris Florakis: University of Liverpool - Management School
Christodoulos Louca: Cyprus University of Technology - Department of Commerce, Finance and Shipping

No 2020-178, Working Papers from Becker Friedman Institute for Research In Economics

Abstract: We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays intuitive relations with quantitative measures of cybersecurity risk disclosure language, exhibits a positive trend over time, is more prevalent among industries relying more on information technology systems, correlates with several characteristics linked to firms hit by cyber attacks and, importantly, predicts future cyber attacks. Stocks with high exposure to cybersecurity risk exhibit high expected returns on average, but they perform poorly in periods of increasing attention to cybersecurity risk.

JEL-codes: G14 G31 (search for similar items in EconPapers)
Pages: 71 pages
Date: 2020
New Economics Papers: this item is included in nep-ict and nep-rmg
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https://repec.bfi.uchicago.edu/RePEc/pdfs/BFI_WP_2020178.pdf (application/pdf)

Related works:
Journal Article: Cybersecurity Risk (2023)
Working Paper: Cybersecurity Risk (2020)
Working Paper: Cybersecurity Risk (2020)
Working Paper: Cybersecurity Risk (2020)
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