Firms often disclose information security risk factors in public filings such as 10-K reports. The internal information associated with disclosures may be positive or negative. In this paper, we are interested in evaluating how the nature of security risk factors disclosed, which is believed to represent the internal information regarding information security, is associated with future breach a...

Bali and Cakici (2006) find no relation between equally-weighted portfolio returns and idiosyncratic risk, whereas Ang et al. (2006a) report a negative relation between value-weighted portfolio returns and idiosyncratic risk. Our analyses demonstrate that both findings can be explained by short-term monthly return reversals. The abnormal positive returns from taking a long (short) position in t...

We introduce the multifactor asset pricing model that includes as risk factors the …ve Chen et al. (1986) macroeconomic variables along with the rates of change in the …rst four cross-sectional consumption moments. The empirical evidence on the pricing of the economic state variables is sensitive to the experimental design, whereas we …nd strong evidence that with the limited participation of h...

Institutions can affect individual behavior both via their efficiency impact and via their risk reducing mechanisms. However there has been little study of the relative importance of these two channels in how individuals choose between simultaneously extant institutions. This paper presents a simple model of institutional choice in a labor market when there is a risk/reward trade-off, and tests...

We show that decomposing macroeconomic risks across horizon is key to uncover a tight link between risk premia and the real economy. Exposure in four-year returns to innovations in macroeconomic growth and volatility with a matching half-life of over four years is priced in a wide variety of test assets. Shorter-term risks are not priced. Importantly, we show that long-term growth and volatilit...

The Sarbanes-Oxley Act (SOX) mandates management evaluation and independent audits of internal control effectiveness. The mandate is costly to firms but may yield benefits through lower information risk that translates into lower cost of equity. We use unaudited pre-SOX 404 disclosures and SOX 404 audit opinions to assess how changes in internal control quality affect firm risk and cost of equi...

Purpose – The purpose of the study reported in this paper was to identify, assess and explore potential risks that Chinese companies may encounter when using, maintaining and enhancing their Enterprise Resource Planning (ERP) systems in the post-implementation phase. Design/methodology/approach – The study adopted a deductive research design based on a cross-sectional questionnaire survey. This...

This paper examines whether the overall market risk along with risks re‡ecting uncertainty related to the long run dynamics of market cash ‡ows (dividends) and discount rates (returns) price average returns on single-sorted portfolios of the Greek stock market. Following Campbell and Vuolteenaho (American Economic Review, 2004) we check whether these two types of risk provide an empirical impro...

Actinic keratoses (AKs) are common cutaneous lesions that develop as a result of ultraviolet (UV) radiation damage.1 Risk factors associated with AKs include advanced age, male gender, high degree of sun and/or artificial UV exposure, and fair skin.2 Epidemiological studies within Europe are limited and have provided highly variable estimates of AK point prevalence (1--38%).2--6 Cumulative sun ...