Authors: Natalia Fischl-Lanzoni, Martin Hiti, and Asani Sarkar
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Staff Reports
Investor Attention to Bank Risk During the Spring 2023 Bank Run
Number 1095
April 2024 Revised December 2025
April 2024 Revised December 2025
JEL classification: G01, G12, G14, G21
We track investor perceptions of bank risk during the 2023 bank run by estimating “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. We find that the betas are mostly zero before the run but increase significantly during the run, primarily for banks featured in news articles. Increases in the betas are only weakly related to bank fundamentals but reverse sharply following the Fed’s liquidity support. Our results suggest that media attention and government interventions, rather than fundamentals alone, coordinate shifts in information sensitivity.
Author Disclosure Statement(s)
Natalia Fischl-Lanzoni
I declare that I have no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Martin Hiti
The author declares that he has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Asani Sarkar
The author declares that he has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
I declare that I have no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Martin Hiti
The author declares that he has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Asani Sarkar
The author declares that he has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Suggested Citation:
Fischl-Lanzoni, Natalia, Martin Hiti, and Asani Sarkar. 2024. “Investor Attention to Bank Risk During the Spring 2023 Bank Run.” Federal Reserve Bank of New York Staff Reports, no. 1095, March. https://doi.org/10.59576/sr.1095
Fischl-Lanzoni, Natalia, Martin Hiti, and Asani Sarkar. 2024. “Investor Attention to Bank Risk During the Spring 2023 Bank Run.” Federal Reserve Bank of New York Staff Reports, no. 1095, March. https://doi.org/10.59576/sr.1095
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