Staff Reports
Investor Attention to Bank Risk During the Spring 2023 Bank Run
Number 1095
April 2024 Revised July 2025

JEL classification: G01, G12, G14, G21

Authors: Natalia Fischl-Lanzoni, Martin Hiti, and Asani Sarkar

We examine how investor perceptions of bank risk evolved during the Spring 2023 bank run by estimating the covariance (“beta”) between the excess stock returns of banks and returns on portfolios sorted by their uninsured deposits and unrealized securities losses. We find that the betas increased significantly during the run, but only for some banks, and these increases were more related to bank publications than to bank fundamentals. Investors’ risk perceptions decreased after the Fed’s liquidity support. Our results suggest that increases in investor information sensitivity during the bank run were primarily coordinated by public news arrivals and government actions.

Full Article
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.
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

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