Previous studies have analyzed the impact of cybersecurity breaches on firm performance, but the impact of the privacy breach on firm performance is less explored. Needless to say, the privacy of the individual's personal information has been a rising concern for organizations over the years. Previous studies, primarily focused on cybersecurity breaches, have used a simple market model (MM) to observe the impact of these breaches on firm performance. Our study has used an advanced market model (AMM), which observes the event-induced changes in the variance of stock returns and changes in MM parameters, which are ignored by the MM. The ignorance of this may lead to a biased cumulative abnormal return (CAR) computation. We have also included the event clustering observation (events that are very close to each other) in our study and evaluated AMM with seemingly unrelated regression (SUR), i.e., AMM-SUR. We have used data of 193 privacy breaches related to the US firms listed on NYSE (USA), NASDAQ (USA) for the years 2012 (43 breaches), 2013 (37 breaches), 2014 (51 breaches), and 2018 (62 breaches). Abnormal returns for the firms are found negative due to these privacy breaches, but AMM consistently reports more negative abnormal returns than MM for all the years. The AMM-SUR, observing event clustering, consistently reports slightly lower negative abnormal returns than the AMM for all the years. We have also calculated the average financial loss due to a privacy breach for these years and for three different models, i.e., MM, AMM, and AMM-SUR.

以前的研究分析了网络安全漏洞对公司绩效的影响，但对隐私泄露对公司绩效的影响的探讨较少。不用说，多年来，个人个人信息的隐私一直是组织日益关注的问题。以前的研究主要关注网络安全漏洞，使用简单的市场模型 (MM) 来观察这些漏洞对公司业绩的影响。我们的研究使用了一个高级市场模型（AMM），它观察了事件引起的股票收益方差的变化和 MM 参数的变化，这些都被 MM 忽略了。对此的无知可能会导致有偏差的累积异常收益 (CAR) 计算。我们还在我们的研究中纳入了事件聚类观察（彼此非常接近的事件），并用看似不相关的回归（SUR）评估了 AMM，即 AMM-SUR。我们使用了 2012 年（43 次违规）、2013 年（37 次违规）、2014 年（51 次违规）和 2018 年（62 次违规）与在纽约证券交易所（美国）、纳斯达克（美国）上市的美国公司相关的 193 起隐私泄露事件的数据）。由于这些隐私泄露，这些公司的异常回报被认为是负数，但 AMM 多年来一直比 MM 报告更多的负异常回报。观察事件聚类的 AMM-SUR 多年来一直报告的负异常收益略低于 AMM。我们还计算了这些年来由于隐私泄露和三种不同模型（即 MM、AMM 和 AMM-SUR）的平均经济损失。