The Anatomy of Cyber Risk

Helene Rey, Rustam Jamilov and Ahmed Tahoun

No 16217, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We construct novel text-based measures of firm-level cyber risk exposure based on quarterly earnings calls of 12,000+ firms from 85 countries over 20+ years. We categorize each cyber-related discussion into topics that capture sentiment, monetary loss, country names, etc. We document new facts on the worldwide rise of cyber risk and its industrial and geographical composition. We characterize most affected firms and show that our indices can predict future cyberattacks. Cyber risk exposure has significant direct and contagion effects on stock returns. Finally, there is a factor structure in our firm-level measures and shocks to the common factor are priced.

JEL-codes: G12 G14 G15 G30 G32 (search for similar items in EconPapers)
Date: 2021-06
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Working Paper: The Anatomy of Cyber Risk (2021)
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