Rosati, P, Cummins, M, Deeney, P et al. (3 more authors) (2017) The effect of data breach announcements beyond the stock price: Empirical evidence on market activity. International Review of Financial Analysis, 49. pp. 146-154. ISSN 1057-5219
Abstract
Extending the literature that has focused thus far on stock price impact, this study investigates the effect of data breach announcements on market activity, specifically through the response of the bid-ask spread and trading volume. We investigate data breach announcements as a potential source of asymmetric information and provide a new dimension to the ongoing debate on market efficiency. Adopting an event study methodology on a sample of 74 data breaches from 2005 to 2014, we find that data breach announcements have a positive short-term effect on both bid-ask spread and trading volume. The effect is only evidenced however on the day of the event, with market efficiency ensuring a quick return to normal market activity. No abnormal trading activity emerges before announcements, so there is no evidence in our study that these types of events are being exploited by informed market participants. The magnitude of event day effects is found to be more pronounced for large breaches, and when the breach involves lost devices.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Keywords: | Data breach; Stock market; Bid-ask spread; Trading volume; Event study |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 22 Mar 2019 10:33 |
Last Modified: | 22 Mar 2019 15:36 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.irfa.2017.01.001 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:143985 |