| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16217 |
| DP16217 The Anatomy of Cyber Risk | |
| Rustam Jamilov; Helene Rey; Ahmed Tahoun | |
| 发表日期 | 2021-06-03 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| URL | https://cepr.org/publications/dp16217 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545187 |
| 推荐引用方式 GB/T 7714 | Rustam Jamilov,Helene Rey,Ahmed Tahoun. DP16217 The Anatomy of Cyber Risk. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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