Reassessing the market impact of cyber incidents: A bias-adjusted event study approach
| Type of publication: | Article |
| Citation: | |
| Publication status: | Published |
| Journal: | International Review of Economics and Finance |
| Volume: | 109 |
| Year: | 2026 |
| Pages: | 105388 |
| URL: | https://www.sciencedirect.com/... |
| DOI: | https://doi.org/10.1016/j.iref.2026.105388 |
| Abstract: | 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 eventinduced 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. |
| Keywords: | Cybersecurity, Econometrics, Event study |
| Authors | |
| Added by: | [] |
| Total mark: | 0 |
|
Attachments
|
|
|
|
|
Notes
|
|
|
|
|
|
Topics
|
|
|
|
|
