The Cyber Risk Premium
用机器学习构建企业级网络风险指标，发现高网络风险公司股票回报更高，且网络安全专家担忧加剧时这些公司表现更差，网络安全ETF表现更好。
Cyber risk is an important emerging source of risk in the economy. To estimate its impact on the asset market, we use machine learning techniques to develop a firm-level measure of cyber risk. The measure aggregates information from a rich set of firm characteristics and shows superior ability to forecast future cyberattacks on individual firms. We find that firms with higher cyber risk earn higher average stock returns. When these firms underperform, cybersecurity experts tend to have higher concerns about cyber risk, and cybersecurity exchange-traded funds outperform. Further tests strengthen the identification of the cyber risk premium. This paper was accepted by William Cong, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.02056 .