The Anatomy of Cyber Risk

92 Pages Posted: 14 Jul 2021

See all articles by Rustam Jamilov

Rustam Jamilov

London Business School

Hélène Rey

London Business School; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)

Ahmed Tahoun

London Business School

Date Written: June 1, 2021

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.

JEL Classification: G12, G14, G15, G30, G32

Suggested Citation

Jamilov, Rustam and Rey, Helene and Tahoun, Ahmed, The Anatomy of Cyber Risk (June 1, 2021). CEPR Discussion Paper No. DP16217, Available at SSRN: https://ssrn.com/abstract=3886659

Rustam Jamilov (Contact Author)

London Business School

Sussex Place
Regent's Park
London, NW1 4SA
United Kingdom

Helene Rey

London Business School ( email )

Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom

Centre for Economic Policy Research (CEPR)

London
United Kingdom

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Ahmed Tahoun

London Business School ( email )

Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom

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