Jamilov, R, Rey, H and Tahoun, A (2021) The Anatomy of Cyber Risk. Working Paper. Social Sciences Research Network.
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.
More Details
Item Type: | Monograph (Working Paper) |
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Subject Areas: |
Accounting Economics |
Additional Information: |
Wheeler Institute for Business and Development |
Date Deposited: | 24 Nov 2021 09:51 |
Last Modified: | 01 Oct 2024 12:17 |
URI: | https://lbsresearch.london.edu/id/eprint/2158 |