Priced at disclosure, revealed at horizon: cybersecurity incidents and deferred market risk

Purpose This study examines whether cybersecurity incident disclosures are associated with short-window market valuation and subsequent risk measures of large listed Indian firms. Design/methodology/approach A market-model event study evaluates 29 retained incidents involving NIFTY 50 constituents. A quarterly panel of 47 firms and 3,002 firm-quarter observations is then used to estimate post-incident changes in cost of equity and realised volatility through two-way fixed-effects, cohort-time, event-time, resampling and leave-one-out analyses. Findings Mean firm-level cumulative abnormal returns are statistically indistinguishable from zero across all reported windows, and attack-category differences are insignificant. Aggregate cost-of-equity estimates are also null. Positive realised-volatility coefficients emerge in later event-time quarters and are jointly significant from t+5 through the late-post bin, although the static effect does not survive family-wise multiple-testing correction. The late-window joint result does not remain significant at the 5% level under a four-outcome Bonferroni sensitivity and is not adjusted across the wider event-time search. Research limitations/implications The incident sample and treated sector groups are small, notification timing and proposed transmission mechanisms are not observed and individual event-time coefficients remain pointwise despite the joint post-period test. The processed-data package does not reproduce the upstream incident search, daily market-model estimation or factor construction. Practical implications Announcement-window returns alone may not describe the later risk profile of an affected firm; confirmation in larger samples is required before the evidence can support specific regulatory or investment rules. Originality/value The study combines firm-level announcement analysis with quarterly post-incident outcomes in an Indian large-firm setting and separates directly tested effects from unmeasured mechanisms.

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Publication Details

Journal
China Finance Review International
Published
2026-11-09
DOI
https://doi.org/10.1108/cfri-03-2026-0248
Primary Topic
Information and Cyber Security
Type
article
Field-Weighted Citation Impact
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article

Priced at disclosure, revealed at horizon: cybersecurity incidents and deferred market risk

Amar Rao, Satish Kumar, Ashutosh Yadav
China Finance Review International
Information and Cyber Security
article

Priced at disclosure, revealed at horizon: cybersecurity incidents and deferred market risk

Amar Rao, Satish Kumar, Ashutosh Yadav
article en

Abstract

Purpose This study examines whether cybersecurity incident disclosures are associated with short-window market valuation and subsequent risk measures of large listed Indian firms. Design/methodology/approach A market-model event study evaluates 29 retained incidents involving NIFTY 50 constituents. A quarterly panel of 47 firms and 3,002 firm-quarter observations is then used to estimate post-incident changes in cost of equity and realised volatility through two-way fixed-effects, cohort-time, event-time, resampling and leave-one-out analyses. Findings Mean firm-level cumulative abnormal returns are statistically indistinguishable from zero across all reported windows, and attack-category differences are insignificant. Aggregate cost-of-equity estimates are also null. Positive realised-volatility coefficients emerge in later event-time quarters and are jointly significant from t+5 through the late-post bin, although the static effect does not survive family-wise multiple-testing correction. The late-window joint result does not remain significant at the 5% level under a four-outcome Bonferroni sensitivity and is not adjusted across the wider event-time search. Research limitations/implications The incident sample and treated sector groups are small, notification timing and proposed transmission mechanisms are not observed and individual event-time coefficients remain pointwise despite the joint post-period test. The processed-data package does not reproduce the upstream incident search, daily market-model estimation or factor construction. Practical implications Announcement-window returns alone may not describe the later risk profile of an affected firm; confirmation in larger samples is required before the evidence can support specific regulatory or investment rules. Originality/value The study combines firm-level announcement analysis with quarterly post-incident outcomes in an Indian large-firm setting and separates directly tested effects from unmeasured mechanisms.

China Finance Review International
BML Munjal University (IN), Jaipuria Institute of Management (IN), Mudra Institute of Communications Ahmedabad (IN), Széchenyi István University (HU), Sunway University (MY)
Information and Cyber Security
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