PUBLISHED WORKS

• The Cyber Risk Premium, with Hao Jiang,  Naveen Khanna, and Jiayu Zhou

- Forthcoming, Management Science

Abstract: 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.

WORKING PAPERS

• Reddit Power: Causal Tests

• Good Neighborhoods Matter: the Social Capital Premium, with Anand Jha and Amanjot Singh

WORK IN PROGRESS

• Cyberattacks on Schools: Financing and Performance Effects, with Clifton Green and Jinoug Jeung

• Idiosyncratic Jump Risk Contagion, with Morad Zekhnini