Reassessing the market impact of cyber incidents: A bias-adjusted event study approach

This study examines the impact of cyber incidents on shareholder value. Using data from 2012 to 2022, we measure abnormal stock returns around reported incidents, adjusting for event-induced variance and cross-correlation. Unlike prior research, we find no statistically significant market-wide abnormal returns once these adjustments are applied. However, data breaches stand out as particularly damaging, with average losses of –1.3% (USD –1.9 billion). The health sector is especially vulnerable, with average losses of –5.2%. Our results suggest that cyber risk is priced selectively by markets, with implications for portfolio risk assessment, sector allocation, and investment strategies. • Cyber incidents significantly impact firms’ financial performance, with data breaches causing average losses of −1.3% (USD −1.9 billion). • The health sector is highly vulnerable, experiencing average losses of −5.21% (USD −1.2 billion), mainly from data breaches. • Statistical adjustments reveal that previously significant abnormal returns around cyber incidents lose significance when methodological rigor is applied. • No evidence of time-varying effects or impact differences based on news types was found. • The study emphasizes refining methodologies and enhancing cybersecurity in high-risk sectors like healthcare.