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The Anatomy of Cyber Risk

Subject

Economics, Accounting

Publishing details

Social Sciences Research Network

Authors / Editors

Jamilov R;Rey H;Tahoun A

Publication Year

2021

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.

Publication Notes

Wheeler Institute for Business and Development

Series

Social Sciences Research Network

Available on ECCH

No


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