Empirical Investigation on Information Breach Effect on the Market Value of the Firm: Focused on Source and Long Term Performance

정보유출이 기업가치에 미치는 효과분석: 원천 및 장기성과

  • Received : 2016.04.22
  • Accepted : 2016.05.24
  • Published : 2016.05.31


This paper analyzes the impact of information breach on shareholder value by measuring the stock price reaction associated with the announcements of data breach. The breach firms in the sample lost, on average, 1.3% of their market value, amounting to 98.9 million won of loss within two-day of the event period after the announcement. We examine the abnormal returns in various categories (i.e., source, type, size, etc.) of information breach. Although the market does not react significantly to the announcements of outside breach, we find statistically significant market reactions to inside breach. We estimate abnormal returns over the following 60 days. The mean 60-day cumulative abnormal return and BHAR (buy-and-hold abnormal returns) are both significantly far from zero. We conclude that there is a coherent market reaction following the announcement. The difference between the market reactions to IT firms and Non-IT firms is statistically significant. But breach amount, firm size, and the year the breach occurred do not show to be significant variables.


Market Value;Information Breach;Source;Type;Long-Term Performance


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