Stock market effects of ECB’s Asset Purchase Programmes: Firm-level evidence

Kai Henseler and Marc Steffen Rapp

Economics Letters, 2018, vol. 169, issue C, 7-10

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.

Keywords: ECB; Monetary policy; Quantitative easing; Stock market; Event study (search for similar items in EconPapers)
JEL-codes: E52 E58 G14 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:169:y:2018:i:c:p:7-10

DOI: 10.1016/j.econlet.2018.04.028

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