Behavior of Corporate Depositors During a Bank Panic
利用高频数据研究2004年俄罗斯银行恐慌期间，企业存款人如何获取和回应银行层面的信息，发现与企业有紧密业务联系的存款人能获取私有信息，其他存款人则依赖公开特征和谣言，但谣言反映银行风险基本面，传染效应有限。
We use high-frequency data to study access and response to bank-level information by corporate depositors during a banking crisis. We examine a bank panic episode in Russia during the summer of 2004 triggered by the Central Bank of Russia (CBR) announcement to liquidate banks for suspicious operations. Our results support the presence of sophisticated depositor monitoring and discipline. Private information about bank risk is available to depositor-firms with a strong business connection to their bank. Other corporate depositors make withdrawals based on publicly observable bank characteristics. Corporate depositors (both with and without strong business ties to the bank) are also susceptible to rumors floating around the banking community. However, those rumors reflect bank-risk fundamentals. Contagion effects seem to be limited. This paper was accepted by Tomasz Piskorski, finance. Supplemental Material: The online appendix is available at https://doi.org/10.1287/mnsc.2022.4304 .