Investor Attention to Bank Risk During the Spring 2023 Bank Run

Natalia Fischl-Lanzoni (), Martin Hiti, Nathan Kaplan and Asani Sarkar
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Natalia Fischl-Lanzoni: https://futuretech.mit.edu/team/natalia-fischl-lanzoni

No 1095, Staff Reports from Federal Reserve Bank of New York

Abstract: We track investor perceptions of bank risk during the 2023 bank run using “balance sheet betas” — the covariance of a bank’s stock returns with returns on factors based on uninsured deposits and unrealized securities losses in 2022Q3. Betas are mostly zero before the run but rise significantly during it, and even further when a bank is in the news. These increases are only weakly related to bank fundamentals. Once the Fed’s liquidity support is announced, betas become insensitive to losses on eligible collateral. Public news and government interventions, rather than fundamentals alone, appear to coordinate shifts in information sensitivity.

Keywords: bank run; information sensitivity; limited attention; balance sheet beta; uninsured deposits; unrealized losses (search for similar items in EconPapers)
JEL-codes: G01 G12 G14 G21 (search for similar items in EconPapers)
Pages: 110
Date: 2024-04-01
New Economics Papers: this item is included in nep-ban and nep-rmg
Note: Revised August 2026.
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fednsr:98045

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DOI: 10.59576/sr.1095

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