Research / BFI Working PaperDec 14, 2020

Cybersecurity Risk

Chris Florakis, Christodoulos Louca, Roni Michaely, Michael Weber

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. 

More Research From These Scholars

BFI Working Paper Aug 3, 2018

Price Rigidity and the Origins of Aggregate Fluctuations

Ernesto Pasten, Raphael Schoenle, Michael Weber
Topics:  Fiscal Studies, Monetary Policy
BFI Working Paper Jan 1, 2017

Flexible Prices and Leverage

Francesco D'Acunto, Ryan Liu, Carolin Pflueger
Topics:  Fiscal Studies
BFI Working Paper Aug 16, 2019

Managing Households’ Expectations with Simple Economic Policies

Francesco D’Acunto, Daniel Hoang, Michael Weber
Topics:  Fiscal Studies, Monetary Policy