Is my bank the same? heterogeneity in market reactions to the silicon valley bank and signature bank failures
研究了2023年3月硅谷银行和签名银行倒闭后美国银行股的市场反应，发现持有大量可供出售证券、未实现亏损高、贷款集中、未保险存款多的银行股价下跌更严重，表明投资者通过间接传染渠道而非直接关联做出反应。
This paper examines stock market reactions to the Silicon Valley Bank (SVB) and Signature Bank (SB) failures in March 2023. Using an event study of U.S. bank holding companies, we document significant negative abnormal returns surrounding the failures, with losses emerging prior to the SVB closure and intensifying on the event dates. We further analyze cross-sectional heterogeneity in market reactions based on banks’ common exposures to SVB and SB. Banks with similar balance sheet characteristics—particularly large holdings of held-to-maturity and available-for-sale securities, sizable unrealized losses, concentrated lending portfolios, and high uninsured deposits—experienced significantly more adverse stock price responses. These findings are consistent with an indirect contagion channel in which investors react to common unfavorable signals rather than direct interbank linkages. Overall, the results inform ongoing policy debates regarding accounting measurement, disclosure, and banking sector stability during periods of systemic stress.