Abstract
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 language | English |
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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
Published online: 8. May 2018.Keywords
- ECB
- Monetary policy
- Quantitative easing
- Stock market
- Event study