Priced at disclosure, revealed at horizon: cybersecurity incidents and deferred market risk

Purpose This study examines whether cybersecurity incident disclosures are associated with short-window market valuation and subsequent risk measures of large listed Indian firms. Design/methodology/approach A market-model event study evaluates 29 retained incidents involving NIFTY 50 constituents. A quarterly panel of 47 firms and 3,002 firm-quarter observations is then used to estimate post-incident changes in cost of equity and realised volatility through two-way fixed-effects, cohort-time, event-time, resampling and leave-one-out analyses. Findings Mean firm-level cumulative abnormal returns are statistically indistinguishable from zero across all reported windows, and attack-category differences are insignificant. Aggregate cost-of-equity estimates are also null. Positive realised-volatility coefficients emerge in later event-time quarters and are jointly significant from t+5 through the late-post bin, although the static effect does not survive family-wise multiple-testing correction. The late-window joint result does not remain significant at the 5% level under a four-outcome Bonferroni sensitivity and is not adjusted across the wider event-time search. Research limitations/implications The incident sample and treated sector groups are small, notification timing and proposed transmission mechanisms are not observed and individual event-time coefficients remain pointwise despite the joint post-period test. The processed-data package does not reproduce the upstream incident search, daily market-model estimation or factor construction. Practical implications Announcement-window returns alone may not describe the later risk profile of an affected firm; confirmation in larger samples is required before the evidence can support specific regulatory or investment rules. Originality/value The study combines firm-level announcement analysis with quarterly post-incident outcomes in an Indian large-firm setting and separates directly tested effects from unmeasured mechanisms.