The US banking crisis in 2023: Intraday attention and price variation of banks at risk

Abstract

After interest rate hikes by the FED, the market value of long-duration assets has declined, which in March of 2023 led to a distress of banks subject to a sudden increase in deposit withdrawals. First, Silicon Valley Bank and Signature Bank were subject to such runs and were taken over by the FDIC, while First Republic Bank by JPMorgan Chase in May of 2023. We date the crisis-period and show that increased Twitter-based attention is related to an increased price variation of banks at risk. Our results imply that during crisis periods, pricing can be improved by incorporating attention-based measures.