Using comprehensive company-level ownership data from Japan, the authors found that the equity size premium correlates strongly with the investment flows of international institutional investors. When investment flows intensified and shifted into larger stocks in the mid-1990s, the equity size...

This paper studies how the stock market perceives and prices cyber risk. To estimate the ex-ante likelihood that a firm will experience a cyber attack, we apply cross-validated logistic LASSO regressions to a set of firm and industry characteristics along with an estimate of a firm's...