Paper: arXiv 2402.04775

Abstract

We extract firms’ cyber risk with a machine learning algorithm measuring the proximity between their disclosures and a dedicated cyber corpus. Our approach outperforms dictionary methods, uses full disclosure and not devoted-only sections, and generates a cyber risk measure uncorrelated with other firms’ characteristics. We find that a portfolio of US-listed stocks in the high cyber risk quantile generates an excess return of 18.72% p.a. Moreover, a long-short cyber risk portfolio has a significant and positive risk premium of 6.93% p.a., robust to all factors’ benchmarks. Finally, using a Bayesian asset pricing method, we show that our cyber risk factor is the essential feature that allows any multi-factor model to price the cross-section of stock returns.

Complexity vs Empirical Score

  • Math Complexity: 4.5/10
  • Empirical Rigor: 6.0/10 (capped from 7.0: transaction costs not modelled; see penalty flags)
  • Quadrant: Street Traders — practical and empirical, lighter on theory

Why this score: The paper employs advanced machine learning (Paragraph Vector) and Bayesian asset pricing methods, indicating moderate mathematical complexity. It demonstrates high empirical rigor with backtest-ready results, robustness checks, cross-sectional and time-series tests, and provides code availability on GitHub.

Research Flowchart

  flowchart TD
  A["Research Goal:<br>Can cyber risk explain<br>cross-section of stock returns?"] --> B["Text Mining & ML<br>Extract cyber risk from disclosures"]
  B --> C["Construct Portfolio<br>High vs Low cyber risk quantiles"]
  C --> D["Factor Analysis<br>Estimate risk premiums &<br>Benchmark against Fama-French factors"]
  D --> E["Bayesian Asset Pricing<br>Identify essential risk factor<br>for multi-factor models"]
  E --> F["Key Findings:<br>1. High risk portfolio: +18.72% p.a.<br>2. Long-short premium: +6.93% p.a.<br>3. Cyber risk factor is essential"]

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  390. Social capital of venture capitalists and start-up funding (2012) — link
  391. Estimating private equity returns from limited partner cash flows (2018) — link
  392. European venture capital: Myths and facts (2015)
  393. Mutual funds as venture capitalists? E vidence from unicorns (2021) — link
  394. The risk and return of venture capital (2005) — link
  395. Private equity benchmarks and portfolio optimization (2013) — link
  396. A new method to estimate risk and return of nontraded assets from cash flows: The case of private equity funds (2012) — link
  397. Auto- Sklearn 2.0: Hands-free AutoML via meta-learning (2021) — link
  398. Cybersecurity risk (2023)
  399. Private equity performance and liquidity risk (2012) — link
  400. Squaring venture capital valuations with reality (2020) — link
  401. How do private equity investments perform compared to public equity? (2016) — link
  402. Round-number bias in investment: Evidence from equity crowdfunding (2018) — link
  403. Risk‐adjusting the returns to venture capital (2016) — link
  404. Risk and return characteristics of venture capital-backed entrepreneurial companies (2010) — link
  405. Mutual fund investments in private firms (2020) — link
  406. The returns to entrepreneurial investment: A private equity premium puzzle? (2002)
  407. Scikit-learn: Machine learning in P ython (2011)
  408. Building a venture capital index (2001) — link
  409. Beware of venturing into private equity (2009)
  410. An index for venture capital, 1987–2003 (2005)
  411. Private equity versus stocks (2006)
  412. Crunchbase research: Monitoring entrepreneurship research in the age of big data (2021) — link
  413. A new model of venture capital risk and return (2009) — link
  414. Using C runchbase for economic and managerial research (2017)
  415. Historical Company Data (2022)
  416. Nonlinearity and smoothing in venture capital performance data (2012)
  417. Fund size, limited attention and valuation of venture capital backed firms (2011)
  418. Local bias in venture capital investments (2010)
  419. Firm-level implications of early stage venture capital investment - An empirical investigation (2007)
  420. Systematic review on identification and prediction of deep learning-based cyber security technology and convergence fields (2022)
  421. Measuring security development in information technologies: A scientometric framework using arXiv e-prints (2023)
  422. The economic cost of publicly announced information security breaches: Empirical evidence from the stock market (2003)
  423. Integrating cost–benefit analysis into the NIST C ybersecurity F ramework via the G ordon– L oeb M odel (2020)
  424. Empirical evidence on the determinants of cybersecurity investments in private sector firms (2018)
  425. Increasing cybersecurity investments in private sector firms (2015)
  426. Market value of voluntary disclosures concerning information security (2010)
  427. The impact of information security breaches: Has there been a downward shift in costs? (2011)
  428. The impact of information sharing on cybersecurity underinvestment: A real options perspective (2015)
  429. Economic aspects of information security: An emerging field of research (2006)
  430. The economics of information security (2006)
  431. Identifying how firms manage cybersecurity investment (2006)
  432. The new risk and return of venture capital (2022)
  433. A framework for using insurance for cyber-risk management (2003)
  434. Pricing the cost of cybercrime - A financial protection approach (2018)
  435. Investing in cybersecurity: Insights from the G ordon- L oeb M odel (2016)
  436. Cybersecurity investment guidance: Extensions of the G ordon and L oeb M odel (2016)
  437. Research note - A value-at-risk approach to information security investment (2008)
  438. Making the best use of cybersecurity economic models (2009)
  439. Coordination in network security games: A monotone comparative statics approach (2012)
  440. IT security investment and G ordon- L oeb’s 1/e rule (2012)
  441. On the G ordon and L oeb M odel for information security investment (2006)
  442. Returns to information security investment: The effect of alternative information security breach functions on optimal investment and sensitivity to vulnerability (2006)
  443. Vulnerability and information security investment: An empirical analysis of e-local government in J apan (2005)
  444. Information security and risk management (2008)
  445. A taxonomy of cyber-harms: Defining the impacts of cyber-attacks and understanding how they propagate (2018)
  446. Examining the costs and causes of cyber incidents (2016)
  447. The impact of information security events to the stock market: A systematic literature review (2016)
  448. Framework for Improving Critical Infrastructure Cybersecurity (2018)
  449. Taxonomy of information security risk assessment ( ISRA ) (2016)
  450. The economics of mandatory security breach reporting to authorities (2016)
  451. Introducing cybernomics: A unifying economic framework for measuring cyber risk (2017)
  452. Risk assessment uncertainties in cybersecurity investments (2018)
  453. Integrated framework for information security investment and cyber insurance (2019)
  454. Do firms underreport information on cyber-attacks? Evidence from capital markets (2018)
  455. Cyber risk for the financial sector: A framework for quantitative assessment (2018)
  456. Cyber-risk disclosure: Who cares? (2016)
  457. Stock price reaction to data breaches (2017)
  458. Risk management, firm reputation, and the impact of successful cyberattacks on target firms (2021)
  459. Corporate governance, social responsibility, and data breaches (2018)
  460. Cyber-attacks and stock market activity (2021)
  461. TechRank (2022)
  462. Measuring the changing cost of cybercrime (2019)
  463. Measuring the cost of cybercrime (2013)
  464. The Econometrics of Financial Markets (1997)
  465. To share or not to share: A behavioral perspective on human participation in security information sharing (2018)
  466. A new status index derived from sociometric analysis (1953)
  467. Corporate Venture Capital Contracts (2006)
  468. Hedge fund networks (2022)
  469. The role of contracts in venture capital returns (2021)
  470. Technology ventures’ engagement of external actors in the search for viable market applications: On the relevance of T echnology B roadcasting and S ystematic V alidation (2021)
  471. TechRank: A network-centrality approach for informed cybersecurity investments (2021)
  472. Network-based research in entrepreneurship: A critical review (2003)
  473. Beyond social capital: The role of entrepreneurs’ social competence in their financial success (2003)
  474. Embracing digital networks: Entrepreneurs’ social capital online (2017)
  475. How does entrepreneurial failure change an entrepreneur’s digital identity? Evidence from T witter data (2021)
  476. Landmark based shortest path detection by using D ijkestra algorithm and Haversine formula (2013)
  477. A perspective on regional and global strategies of multinational enterprises (2004)
  478. The effect of foreign investment on economic development and income inequality (2002)
  479. Globalization impact on multinational enterprises (2021)
  480. Array programming with N um P y (2020)
  481. Percolation centrality: Quantifying graph-theoretic impact of nodes during percolation in networks (2013)
  482. The building blocks of economic complexity (2009)
  483. Which startup to invest in: A personalized portfolio strategy (2018)
  484. Knowledge management: An organizational capabilities perspective (2001)
  485. Unfolding the relations between companies and technologies under the B ig D ata umbrella (2018)
  486. Predicting investor funding behavior using C runchbase social network features (2016)
  487. Probabilistic latent factor model for collaborative filtering with B ayesian inference (2021)
  488. Spearman rank correlation (2005)
  489. The virtuous circle of W ikipedia: Recursive measures of collaboration structures (2015)
  490. Novel multiplex P age R ank in multilayer networks (2018)
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  492. Ranking hubs and authorities using matrix functions (2013)
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  494. Catastrophic cascade of failures in interdependent networks (2010)
  495. Layered complex networks (2006)
  496. Weighted P age R ank algorithm (2004)
  497. Factoring and weighting approaches to status scores and clique identification (1972)
  498. A mathematical model for group structures (1948)
  499. Identification of top- K nodes in large networks using Katz centrality (2017)
  500. Online estimating the k central nodes of a network (2011)
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  502. Centrality in social networks conceptual clarification (1978)
  503. Global rank estimation (2017)
  504. Centrality measures in complex networks: A survey (2020)
  505. The Innovators Dilemma: When New Technologies Cause Great Firms to Fail (1997)
  506. The P age R ank citation ranking: Bringing order to the web (1999)
  507. Has persistence persisted in private equity? Evidence from buyout and venture capital funds (2023)
  508. Can investors time their exposure to private equity? (2021)
  509. Investing outside the box: Evidence from alternative vehicles in private equity (2022)
  510. Do private equity funds manipulate reported returns? (2019)
  511. How persistent is private equity performance? Evidence from deal-level data (2017)
  512. Should defined contribution plans include private equity investments? (2022)
  513. Financial intermediation in private equity: How well do funds of funds perform? (2018)
  514. Private equity performance: What do we know? (2014)
  515. Cyclicality, performance measurement, and cash flow liquidity in private equity (2016)
  516. Private equity performance: Returns, persistence, and capital flows (2005)
  517. Informational holdup and performance persistence in venture capital (2014)
  518. The anatomy of cyber risk (2023)
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  520. Microsoft Invests $10 Billion in ChatGPT Maker OpenAI (2023) — link
  521. Order flows and financial investor impacts in commodity futures markets (2022)
  522. A private investment benchmark (1996)
  523. Private equity benchmarking with PME+ (2003)
  524. Benchmarking private equity: The direct alpha method (2023)
  525. The public market equivalent and private equity performance (2015)
  526. Measuring the performance of investments in information security startups: An empirical analysis by cybersecurity sectors using C runchbase data (2023)
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  528. Cyberattacks, media coverage and municipal finance (2023)
  529. Municipal Cyber Risk (2023)
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  533. Efficient estimation of word representations in vector space (2013)
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  535. What the hack: Systematic risk contagion from cyber events (2019)
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  537. An empirical evaluation of doc2vec with practical insights into document embedding generation (2016)
  538. Neural network embeddings on corporate annual filings for portfolio selection (2021)
  539. Asset pricing (2005)
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  543. Heterogeneity in cyber loss severity and its impact on cyber risk measurement (2022)
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  545. A skeptical appraisal of asset pricing tests (2010)
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  557. Demand curves for stocks do slope down: New evidence from an index weights adjustment (2000)
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  559. The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume (2010)
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  561. Price Pressure around mergers (2004)
  562. Capital gains tax overhang and price pressure (2006)
  563. A note on intraday event studies (2019)
  564. Event studies with intraday data (2023)
  565. The cyber risk premium (2023)
  566. Cybercrime and the Cross-Section of Equity Returns (2022)
  567. How is earnings news transmitted to stock prices? (2022)
  568. The intraday B itcoin response to T ether minting and burning events: Asymmetry, investor sentiment, and \quotes whale alerts on T witter (2022)
  569. Run EDGAR run: SEC dissemination in a high-frequency world (2017)
  570. The high-frequency trading arms race: Frequent batch auctions as a market design response (2015)
  571. Information content of earnings announcements: Evidence from after-hours trading (2012)
  572. Evidence on the speed of convergence to market efficiency (2005)
  573. Market efficiency in real time (2002)
  574. Market structure, informed trading, and analysts’ recommendations (1997)
  575. Market microstructure invariance: Empirical hypotheses (2016)
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  577. Event Induced Volatility and Tests for Abnormal Performance (2003)
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  583. Is all that talk just noise? The information content of internet stock message boards (2004)
  584. Investor sentiment and the cross-section of stock returns (2006)
  585. Using 10- K text to gauge financial constraints (2015)
  586. How news and its context drive risk and returns around the world (2019)
  587. Sentiment during Recessions (2013)
  588. Word power: A new approach for content analysis (2013)
  589. When is a liability not a liability? T extual analysis, dictionaries, and 10- K s (2011)
  590. Firm-level political risk: Measurement and effects (2019)
  591. Firm-level climate change exposure (2023)
  592. The information content of mandatory risk factor disclosures in corporate filings (2014)
  593. Product market synergies and competition in mergers and acquisitions: A text-based analysis (2010)
  594. Lazy prices (2020)
  595. Identification of cybersecurity specific content using the doc2vec language model (2019)
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  598. Payout policy in the 21st century (2005)
  599. Is the abnormal return following equity issuances anomalous? (2000)
  600. Seasoned public offerings: Resolution of the ’new issues puzzle’ (2000)
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  602. Using C runchbase for economic and managerial research (2017)
  603. Risk management, firm reputation, and the impact of successful cyberattacks on target firms (2021)
  604. Measuring the changing cost of cybercrime (2019)
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1 of 615 cited works are in the corpus; resolved via arXiv source bundles, Semantic Scholar and OpenAlex. Corpus-wide: 2518 linked papers.