Cybersecurity Risk

• 成果类型: Article
• 署名作者: Florackis, Chris; Louca, Christodoulos; Michaely, Roni; Weber, Michael
• 署名单位: University of Liverpool; Cyprus University of Technology; University of Hong Kong; University of Chicago; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac024
• 发表日期: 2022
• 页码: 351
• 关键词: cross-section; Textual analysis; financial constraints; corporate governance; conditional skewness; information-content; FACTOR DISCLOSURES; CYBER-ATTACKS; returns; FIRMS

摘要

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.