ABSTRACT

I study the determinants of information acquisition in banking and its consequences
for bank fragility. Using IP address-traced search volume on SEC EDGAR, I con-
struct a high-frequency, bank-level measure of information acquisition about fun-
damentals. I document two main empirical findings. First, consistent with theories
about information-sensitivity of debt, information acquisition is state-contingent:
search volume is concentrated in bad states, when banks get closer to default and
receive negative media coverage. Second, information acquisition shows a negative
relation with total deposit flows. Importantly, the relation is entirely driven by
uninsured deposits, and is stronger for banks whose accounting reports reveal poor
performance and thin capitalization, and during both idiosyncratic and systemic
stress. The evidence highlights the role of information acquisition, in addition to
information disclosure, for bank fragility.