Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229578
Authors: 
Florackis, Chris
Louca, Christodoulos
Michaely, Roni
Weber, Michael
Year of Publication: 
2020
Series/Report no.: 
CESifo Working Paper No. 8760
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.
Subjects: 
cyber attacks
risk disclosures
textual analysis
stock returns
JEL: 
G14
G32
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.