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Unveiling investor preferences: an empirical study of the 2023 U. S. banking crisis
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This study investigates the U.S. Banking Crisis of 2023, exploring investor preferences
through market reaction. The Fama-French 3-factors prove robust in explaining bank returns during
the crisis. Adding the change in U.S. deposits to the FF3-model improves its ability to explain bank
returns and highlights that deposit outflows, especially for regional banks, represent a systematic
risk. Regression analyses identify crucial factors such as size, liquidity, staff-expenses, leverage,
and business-model influencing idiosyncratic risk. Long/short portfolios confirm these factors and
show that investors preferred larger banks, stronger liquidity positions, lower staff-expenses, lower
leverage, and simpler, less risky business models during the crisis.
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Bank runs Banking crisis Investor preferences Systematic risk Idiosyncratic risk