Stock Market Effects of ECB’s Asset Purchase Programmes: Firm-level Evidence

Kai Henseler, Marc Steffen Rapp

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Resumé

How do stock prices react to ECB’s Asset Purchase Programmes? Using an event-study approach, we find substantial cross-sectional variation in a sample of 2625 non-financial firms in the Euro-zone. Announcement returns are positively correlated with leverage and negatively with size, consistent with a credit channel. Furthermore, announcement returns are negatively correlated with the market-to-book ratio, suggesting different exposures of value and growth stocks. These patterns are more pronounced once we only examine programme initiation announcements.
OriginalsprogEngelsk
TidsskriftEconomics Letters
Vol/bind169
Sider (fra-til)7-10
Antal sider4
ISSN0165-1765
DOI
StatusUdgivet - aug. 2018

Bibliografisk note

Epub ahead of print. Published online: 8. May 2018

Emneord

  • ECB
  • Monetary policy
  • Quantitative easing
  • Stock market
  • Event study

Citer dette

Henseler, Kai ; Rapp, Marc Steffen. / Stock Market Effects of ECB’s Asset Purchase Programmes : Firm-level Evidence. I: Economics Letters. 2018 ; Bind 169. s. 7-10.
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Stock Market Effects of ECB’s Asset Purchase Programmes : Firm-level Evidence. / Henseler, Kai; Rapp, Marc Steffen.

I: Economics Letters, Bind 169, 08.2018, s. 7-10.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

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