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Time-varying effects of cyberattacks on firm value

Author

Listed:
  • Michael McShane

    (Strome College of Business, Old Dominion University)

  • Trung Nguyen

    (East Carolina University)

Abstract

This paper adds to research on the effect of cyber events on the attacked firm’s value in light of conflicting results from previous studies. Using 536 cyberattack announcements that occurred during the 2007–2016 period, the main goal is to investigate for changes in investor reaction over time as cyberattacks have become more frequent. Empirical evidence shows that cumulative abnormal returns of attacked firms were volatile earlier in the period, became increasingly negative, but have moderated recently. This paper proposes and discusses potential explanations for this observed U-shaped pattern over the 10-year period. The relation between stock market reaction and type of attack, type of data affected, type of perpetrator and various firm level characteristics is also examined.

Suggested Citation

  • Michael McShane & Trung Nguyen, 2020. "Time-varying effects of cyberattacks on firm value," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 45(4), pages 580-615, October.
    • Handle: RePEc:pal:gpprii:v:45:y:2020:i:4:d:10.1057_s41288-020-00170-x
    DOI: 10.1057/s41288-020-00170-x
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    References listed on IDEAS

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    Cited by:

    1. Martin Eling & Michael McShane & Trung Nguyen, 2021. "Cyber risk management: History and future research directions," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 24(1), pages 93-125, March.
    2. Lorenz Bohn & Dirk Schiereck, 2023. "Regulation of data breach publication: the case of US healthcare and the HITECH act," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 386-399, June.
    3. Sepideh Ebrahimi & Kamran Eshghi, 2022. "A meta-analysis of the factors influencing the impact of security breach announcements on stock returns of firms," Electronic Markets, Springer;IIM University of St. Gallen, vol. 32(4), pages 2357-2380, December.
    4. Zängerle, Daniel & Schiereck, Dirk, 2022. "Modelling and predicting enterprise‑level cyber risks in the context of sparse data availability," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 136276, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).

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    Cyberattacks; Cyber event study;

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