This paper takes an event study approach to examine the return and risk effects associated with ecommerce announcements and analyzes the drivers of risk effects.Three models are adopted to examine the risk and return effects of ecommerce announcements and the results suggest that: (1) returns show a significant post-event decrease in both 2000 and 2008,after controlling for the risk changes; (2) return effects become different in both 2000 and 2008,after controlling for risk effects; (3) a significant increase in total risk is associated with the event; (4) systematic risk does not change significantly following the event in 2008, but shows a significant post-event increase in 2000; (5) unsystematic risk increases after the event in both 2000 and 2008.The cross-sectional analysis suggests that in 2000, ecommerce in tangible goods is perceived to be less risky than ecommerce for digital goods and services.