The Financial Market Effects of Cybersecurity Breaches and Corporate Cyber Risk Disclosures

Madita Johanna Schuster

Diplomová práce

Anotace:

This study examines the stock market reaction to cybersecurity breach announcements using an international sample of publicly listed firms from 2015 to 2024. The analysis shows that breaches lead to statistically significant negative abnormal returns in the short term, indicating immediate adverse market reactions. However, no statistically significant long-term effects are observed, suggesting that the negative impact cannot be attributed to the breach over extended event windows. In addition, no consistent evidence of informed trading prior to breach announcements is found. Prior cybersecurity risk disclosure does not significantly explain variation in abnormal returns. Subsidiary breaches tend to be associated with less negative abnormal returns, although the effect is limited and only weakly significant in the short-term. Market reactions ultimately vary substantially across firms and reflect firm-specific factors.

Abstract:

This study examines the stock market reaction to cybersecurity breach announcements using an international sample of publicly listed firms from 2015 to 2024. The analysis shows that breaches lead to statistically significant negative abnormal returns in the short term, indicating immediate adverse market reactions. However, no statistically significant long-term effects are observed, suggesting that the negative impact cannot be attributed to the breach over extended event windows. In addition, no consistent evidence of informed trading prior to breach announcements is found. Prior cybersecurity risk disclosure does not significantly explain variation in abnormal returns. Subsidiary breaches tend to be associated with less negative abnormal returns, although the effect is limited and only weakly significant in the short-term. Market reactions ultimately vary substantially across firms and reflect firm-specific factors.

Klíčová slova

Cybersecurity Breaches, Event study, Abnormal Returns, Informed Trading, Market Efficiency, Information Asymmetry, Corporate Disclosure

Keywords

Event Study, Abnormal Returns, Information Asymmetry, Corporate Disclosure, Market Efficiency, Cybersecurity Breaches, Informed Trading

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 9. 5. 2026

Obhajoba závěrečné práce

• Obhajoba proběhla 9. 6. 2026
• Vedoucí: Petr Jablonský
• Oponent: Rufat Mahmudov

Vysoká škola ekonomická v Praze

Magisterský studijní program:
Finance and Accounting