Cybersecurity Risk
Chris Florackis,
Christodoulos Louca,
Roni Michaely and
Michael Weber
No 28196, NBER Working Papers from National Bureau of Economic Research, Inc
Abstract:
Using textual analysis and comparing cybersecurity-risk disclosures of firms that were hacked to others that were not, we propose a novel firm-level measure of cybersecurity risk for all US-listed firms. We then examine whether cybersecurity risk is priced in the cross-section of stock returns. Portfolios of firms with high exposure to cybersecurity risk outperform other firms, on average, by up to 8.3% per year. At the same time, high-exposure firms perform poorly in periods of high cybersecurity risk. Reassuringly, the measure is higher in information-technology industries, correlates with characteristics linked to firms hit by cyberattacks, and predicts future cyberattacks.
JEL-codes: G14 G31 (search for similar items in EconPapers)
Date: 2020-12
New Economics Papers: this item is included in nep-ict
Note: AP CF
References: Add references at CitEc
Citations:
Published as Chris Florackis & Christodoulos Louca & Roni Michaely & Michael Weber & Itay Goldstein, 2022. "Cybersecurity Risk," The Review of Financial Studies, vol 36(1), pages 351-407.
Downloads: (external link)
http://www.nber.org/papers/w28196.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) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:28196
Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w28196
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().