The standard econometric method of looking at this sort of thing is the so-called "event study". An accessible overview (it was written for lawyers, not statisticians!) can be found at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=268283
I'd expect beta to be a lagging indicator, whereas price can adjust instantaneously.
On the "handful of stocks" question, a paper presented by Friedman and Acquisti at the last Workshop on Economics and Information Security included all US publicly-traded firms for which breach info was available. I think the sample size was about 150-200. Enough statistical power to estimate parameters. The findings were roughly in agreement with Tim's conjecturem -- short-term effect, no big whoop long-term. Whether this observation would hold for a firm whose "core competence" was securely holding info is something others have looked at, and many more have ruminated on, but I think the data are not sufficient to draw more than tentative conclusions at this point.
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I'd expect beta to be a lagging indicator, whereas price can adjust instantaneously.
On the "handful of stocks" question, a paper presented by Friedman and Acquisti at the last Workshop on Economics and Information Security included all US publicly-traded firms for which breach info was available. I think the sample size was about 150-200. Enough statistical power to estimate parameters. The findings were roughly in agreement with Tim's conjecturem -- short-term effect, no big whoop long-term. Whether this observation would hold for a firm whose "core competence" was securely holding info is something others have looked at, and many more have ruminated on, but I think the data are not sufficient to draw more than tentative conclusions at this point.