Cybersecurity Risk

doi:10.1093/rfs/hhac024

Cybersecurity Risk

2022-05-14

42

PRE

AI

DOI：10.1093/rfs/hhac024

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摘要

En 中文

Based on textual analysis and a comparison of 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 U.S.-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. Yet, 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.

Keyword:

CROSS-SECTION

TEXTUAL ANALYSIS

FINANCIAL CONSTRAINTS

CORPORATE GOVERNANCE

CONDITIONAL SKEWNESS

INFORMATION-CONTENT

FACTOR DISCLOSURES

CYBER-ATTACKS

RETURNS

FIRMS

Cybersecurity Risk

摘要

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