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

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  • Henseler, Kai
  • Rapp, Marc Steffen

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.

Suggested Citation

  • Henseler, Kai & Rapp, Marc Steffen, 2018. "Stock market effects of ECB’s Asset Purchase Programmes: Firm-level evidence," Economics Letters, Elsevier, vol. 169(C), pages 7-10.
    • Handle: RePEc:eee:ecolet:v:169:y:2018:i:c:p:7-10
    DOI: 10.1016/j.econlet.2018.04.028
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    Citations

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    Cited by:

    1. Christoph Wegener & Tobias Basse & Philipp Sibbertsen & Duc Khuong Nguyen, 2019. "Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany," Annals of Operations Research, Springer, vol. 282(1), pages 407-426, November.
    2. Hayo, Bernd & Henseler, Kai & Steffen Rapp, Marc & Zahner, Johannes, 2022. "Complexity of ECB communication and financial market trading," Journal of International Money and Finance, Elsevier, vol. 128(C).
    3. Shin-ichi Fukuda & Mariko Tanaka, 2022. "The Effects of Large-scale Equity Purchases during the Coronavirus Pandemic," CIRJE F-Series CIRJE-F-1186, CIRJE, Faculty of Economics, University of Tokyo.

    More about this item

    Keywords

    ECB; Monetary policy; Quantitative easing; Stock market; Event study;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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