Bank of Japan’s ETF purchase program and equity risk premium: A CAPM interpretation

Mitsuru Katagiri, Junnosuke Shino and Koji Takahashi

Journal of Financial Markets, 2025, vol. 73, issue C

Abstract: We investigate the effects of the Bank of Japan’s (BOJ’s) exchange-traded fund (ETF) purchase program on equity risk premia. Utilizing the cross-sectional variations in the amount of individual stock that the BOJ has indirectly purchased in the program, the empirical analysis reveals that: (i) the BOJ’s ETF purchases instantaneously support stock prices on purchase, and (ii) the positive effects on stock prices, combined with the countercyclical nature of the BOJ’s purchases, affect the market beta and coskewness of Japanese stocks, leading to an economically significant decline in risk premia.

Keywords: Large-scale asset purchases (LSAP); ETF purchase program; Capital asset pricing model (CAPM); Bank of Japan (search for similar items in EconPapers)
JEL-codes: E58 G12 G14 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1386418125000011
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:73:y:2025:i:c:s1386418125000011

DOI: 10.1016/j.finmar.2025.100961

Access Statistics for this article

Journal of Financial Markets is currently edited by B. Lehmann, D. Seppi and A. Subrahmanyam

More articles in Journal of Financial Markets from Elsevier
Bibliographic data for series maintained by Catherine Liu ().