光华讲坛
主 题：Inside Out: Who Trade Before the Start of Cyber Attacks?
合作者 Edward Xuejun Li，Xintian Lin，Xin Yuan
主讲人： Xi Dong （董玺）, 纽约城市大学巴鲁克学院 （Baruch College / City University of New York）
主持人：澳门bet356体育在线官网 李彦
时 间：2024年5月31日（周五）10:30—12:00
地 点：诚正楼650会议室
主办单位：新时代中国特色财务与会计理论创新与方法体系研究团队 数字经济重大基础理论与实践创新研究团队 澳门bet356体育在线官网 科研处
主讲人简介：
Xi Dong （董玺），纽约城市大学巴鲁克学院金融学终身（副）教授，曾在INSEAD (欧洲工商管理学院)担任金融学助理教授，以及道富银行State Street 担任全球投资策略师。2010年毕业于Boston College。他的研究成果发表或者R&R在Journal of Finance, Management Science, Review of Financial Studies，and Journal of Financial and Quantitative Analysis。他曾两次获得全球著名的Crowell Prize最佳论文奖，以及普华永道年度最佳论文奖, 并受多方媒体广泛报道包括雅虎新闻，联合通讯社等。他有多篇工作论文在顶级学术会议包括AFA, AEA, WFA, EFA, and SFS Cavalcade. 他的论文获得华尔街顶级投资公司的巨大兴趣包括Fidelity, PanAgora Asset Management, Acadian Asset Manager, Barclay Capitals, Research Affiliates. 并在全球资产管理产业峰会Wolf Research上受邀作为特约嘉宾演讲。他为Journal of Finance, Management Science, Review of Financial Studies, Journal of Financial and Quantitative Analysis, JBF等期刊担任审稿人，并担任多个学术会议审核委员会成员比如FMA, MFA, FIRN.
摘要：We provide the most comprehensive and sharpest analysis of trading by major trader groups, both inside and outside firms, around the onset of cyberattacks and the associated market dynamics. Besides hackers, no one should know about the incoming cyberattacks. However, we find a perplexing pattern: abnormal short selling, especially information-motivated selling, significantly increases in the weeks preceding data-breaches, more so for stocks with a diverse pool of share lenders. No similar patterns are found for the detection and public announcement of cyberattacks, pseudo-cyber events, or among industry peers. Corporate insiders do not trade around attacks, and neither do institutions. Surprisingly, retail investors, despite being the least sophisticated, presciently sell attacked stocks alongside short sellers. Following the cyberattack, attacked stocks experience low returns, while short-selling fees, effective spreads, and price impacts increase significantly. Our results suggest that cyberattacks, potentially representing the tip of the iceberg of firm-specific information originating from outside firms, challenge the traditional paradigm of information asymmetry premised on insiders’ informational advantage over outsiders.
