Abnormal Returns and Dispersion in Cybersecurity Exposure
24 Pages Posted: 19 Feb 2021
Date Written: December 10, 2020
This paper examines the dispersion in cybersecurity risk across firms. Using new, proprietary data on the Fortune 500 firms, We show that higher productivity firms exhibit abnormal returns. We subsequently document three new facts: (a) higher productivity firms have fewer cybersecurity vulnerabilities, (b) vulnerabilities are highly persistent within-firm, and (c) vulnerabilities are associated with data breaches. Our results suggest that higher productivity firms gain access to more technical human capital resources that are capable of mitigating cybersecurity vulnerabilities.
Keywords: Abnormal Returns, Asset Pricing, Cybersecurity, Data Breach, Stock Market
JEL Classification: G12, G14, G41, H23, H56
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