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

Kai Henseler, Marc Steffen Rapp

Research output: Contribution to journalJournal articleResearchpeer-review


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.
Original languageEnglish
JournalEconomics Letters
Pages (from-to)7-10
Number of pages4
Publication statusPublished - Aug 2018

Bibliographical note

Published online: 8. May 2018.


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

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