Price Revelation from Insider Trading: Evidence from Hacked Earnings News

Cyber risk is a major concern to corporations and investors.  Recent academic studies point out that firms suffer large negative returns when they disclose that they have suffered a data breach (e.g., Akey, Lewellen and Liskovich (2018) and Kamiya et al (2019)) and that informed market participants are able to trade on this information before it becomes public (Mitts and Talley (2018)).  These studies and many articles in the popular press often consider these events to be idiosyncratic.   However, cyber risk can also contribute to aggregate information risk since the current financial system entrusts information to several centralized custodians that … Read more