Reassessing the market impact of cyber incidents: A bias-adjusted event study approach
Loïc Maréchal, Daniel Celeny, Evgueni Rousselot, Alain Mermoud, Mathias Humbert · International Review of Economics & Finance · 2026
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.