大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,The University of Osaka

Do Investors Care About Data Security Breaches? Empirical Evidence from Stock Return Synchronicity

Jee-Hae Lim (University of Hawaii at Manoa)

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4. Do Investors Care About Data Security Breaches? Empirical Evidence from Stock Return Synchronicity

大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第149回

Do Investors Care About Data Security Breaches? Empirical Evidence from Stock Return Synchronicity

Jee-Hae Lim (University of Hawaii at Manoa)

This study examines whether and how data security breaches (DSBs) influence the incorporation of firm-specific security information into stock prices afterward, moving beyond the previously mixed findings of long-term investor reactions to DSB news and answering the questions of whether investors care about DSBs afterward. Analyzing 492 DSB observations during 2005–2017 from Privacy Rights Clearinghouse (PRC), together with matched non-DSB observations, we find that stock return synchronicity is lower for firms that report DSBs than for others, reflecting increased investor attention toward firm-specific security information. Further evidence supports our conjecture that the effect on stock return synchronicity is stronger for severe DSBs and security- and remediation-related information. Our results are robust to a difference-in-differences design, falsification tests, and alternative samples, model specifications and measurements. Overall, our findings suggest that DSBs may not be a one-time shock for investors, but rather trigger their increased awareness of security-related information after the fact.