TY  - CONF
T1  - Reassessing the market impact of cyber incidents: A bias-adjusted event study approach
A1  - Maréchal, Loïc
TI  - MRS2026 International Risk Conference
Y1  - 2026
CY  - Honolulu
UR  - https://www.globalmrs.org/mrs2026/papers/65.pdf
KW  - cybersecurity.
KW  - Econometrics
KW  - Event study
N2  - This study examines the impact of cyber incidents on shareholder value. Using data from 2012 to 2022, we measure abnormal stock returns around reported incidents, adjusting for event-induced variance and cross-correlation. Unlike prior research, we find no statistically significant market-wide abnormal returns once these adjustments are applied. However, data breaches stand out as particularly damaging, with average losses of–1.3% (USD–1.9 billion). The health sector is especially vulnerable, with average losses of–5.2%. Our results suggest that cyber risk is priced selectively by markets, with implications for portfolio risk assessment, sector allocation, and investment strategies.
ER  -