The Anatomy of Cyber Risk
Subject
Economics, Accounting
Publishing details
Social Sciences Research Network
Authors / Editors
Jamilov R; Rey H; Tahoun A
Biographies
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
