This study provides empirical evidence that capital markets participants believe e-commerce activity subjects companies to incremental firm-specific risk. We identify and measure proxies for e-commerce risks using a diverse sample of Internet and other firms. We first investigate investors' reactions to "hacker" attacks launched against several of the best-known Internet firms in February 2000. After excluding three firms in our sample that are known subjects of the attacks, we investigate whether remaining sample firms experienced ixcontagiousl. negative abnormal stock returns following the attacks. We find that the extent of negative abnormal returns is associated with several of the e-risk metrics. Investors appear to believe the likelihood a firm will be subject to similar attacks is positively related to its self-disclosed vulnerability to e-risks, and to its designation by outsiders as an Internet firm. The negative abnormal returns observed are substantial in magnitude and do not reverse over time.