Pricing and Hedging Cybercrime News

15:40-17:00, Friday, May 9, 2025

I-206, Boxue Building

Dr. Jiatao LIU is currently working as an Assistant Professor in the Department of Finance at the School of International Business, Xijiao Liverpool University. He graduated from Bayes Business School, City of St. George's, University of London in 2021. Dr. LIU's main research interests include asset pricing, international finance and digital finance. His research results have been published in Journal of International Money and Finance and Journal of Management Science and Engineering.

We measure stock cybercrime risk using betas from cybercrime news coverage. Stocks with higher cybercrime sensitivity -- indicated by their betas -- demand lower risk-adjusted returns, implying a negative risk premium for assets hedging against cybercrime fluctuations. Our analysis of 112 significant incidents supports a long-short portfolio strategy that effectively mitigates cybercrime exposure. We pinpoint critical determinants of firms' cybercrime betas, emphasizing the protective roles of corporate governance, human capital, limited industry-wide cyber interactions, and minimal data-centric operations. Our asset pricing results estimate cybercrime-related losses range from $40 to $140 billion, with our hedging strategy potentially averting up to $86 billion annually.

For more information of the seminar, scan the following QR code(s) to join Tencent QQ group (904 544 292) or WeChat group named "IAER Seminar (5)", please.

QQ Group

WeChat Group 

(QR code is valid until May 13, 2025)