We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in … corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays … intuitive relations with quantitative measures of cybersecurity risk disclosure language, exhibits a positive trend over time …

ante risk assessment and derive risk premia for every balance sheet item where liabilities are differentiated according to … priority rights. We find that risk premia reflect both idiosyncratic risk and risk of contagion (network risk). Moreover, we … show that network risk magnifies the gap between the risk premia of equity and debt. We also perform comparative statics …

estimation of risk premia but also in tests of market efficiency, where λk and μk are respectively the risk premium and the mean … of the kth risk factor. It proposes a two-step estimator of ∅k with Shanken type bias-correction, and derives its … U.S. securities with risk factors selected from a large number of potential risk factors according to their strength …