Cyber-attacks and stock market activity

摘要

I study how financial markets react to unexpected corporate security breaches in the short and the long-term. The main results show that daily excess returns drop, trading volume increases due to selling pressure, and liquidity improves upon the public disclosure of first-time corporate hacking events. The evidence from the search frequency in Google suggests that such short-lived market reaction is due to increasing investors & rsquo; attention. Cyberattacks affect firms & rsquo; policies in the long run, up to five years after the security breach announcement. These results are consistent with the hypothesis that security breaches represent unexpected negative shocks to firms & rsquo; reputations.