Abstract
| Original language | English |
|---|---|
| Journal | Economics Letters |
| Volume | 169 |
| Pages (from-to) | 7-10 |
| Number of pages | 4 |
| ISSN | 0165-1765 |
| DOIs | |
| Publication status | Published - Aug 2018 |
Bibliographical note
Epub ahead of print. Published online: 8. May 2018Keywords
- ECB
- Monetary policy
- Quantitative easing
- Stock market
- Event study
Cite this
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Stock Market Effects of ECB’s Asset Purchase Programmes : Firm-level Evidence. / Henseler, Kai; Rapp, Marc Steffen.
In: Economics Letters, Vol. 169, 08.2018, p. 7-10.Research output: Contribution to journal › Journal article › Research › peer-review
TY - JOUR
T1 - Stock Market Effects of ECB’s Asset Purchase Programmes
T2 - Firm-level Evidence
AU - Henseler, Kai
AU - Rapp, Marc Steffen
N1 - Epub ahead of print. Published online: 8. May 2018
PY - 2018/8
Y1 - 2018/8
N2 - 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.
AB - 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.
KW - ECB
KW - Monetary policy
KW - Quantitative easing
KW - Stock market
KW - Event study
KW - ECB
KW - Monetary policy
KW - Quantitative easing
KW - Stock market
KW - Event study
UR - https://sfx-45cbs.hosted.exlibrisgroup.com/45cbs?url_ver=Z39.88-2004&url_ctx_fmt=info:ofi/fmt:kev:mtx:ctx&ctx_enc=info:ofi/enc:UTF-8&ctx_ver=Z39.88-2004&rfr_id=info:sid/sfxit.com:azlist&sfx.ignore_date_threshold=1&rft.object_id=954925481602&rft.object_portfolio_id=&svc.holdings=yes&svc.fulltext=yes
U2 - 10.1016/j.econlet.2018.04.028
DO - 10.1016/j.econlet.2018.04.028
M3 - Journal article
VL - 169
SP - 7
EP - 10
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
ER -