Bank of Japan's ETF purchase program and equity risk premium: a CAPM interpretation
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- Katagiri, Mitsuru & Shino, Junnosuke & Takahashi, Koji, 2025. "Bank of Japan’s ETF purchase program and equity risk premium: A CAPM interpretation," Journal of Financial Markets, Elsevier, vol. 73(C).
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Citations
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Cited by:
- Han, Fei, 2024. "The impact of demographic change on the natural rate of interest in Japan," Japan and the World Economy, Elsevier, vol. 69(C).
- Cohen, Lior, 2023. "The effects of the BoJ's ETF purchases on equities and corporate investment," Economic Modelling, Elsevier, vol. 129(C).
- Mitsuru Katagiri & Junnosuke Shino & Koji Takahashi, 2023.
"To lend or not to lend: the Bank of Japan's ETF purchase program and securities lending,"
BIS Working Papers
1113, Bank for International Settlements.
- Mitsuru Katagiri & Junnosuke Shino & Koji Takahashi, 2023. "To Lend or Not to Lend: The Bank of Japan’s ETF Purchase Program and Securities Lending," Working Papers 2304, Waseda University, Faculty of Political Science and Economics.
- Guo, Qi & Huang, Shao’an & Wang, Gaowang, 2024.
"Stabilizing the financial markets through communication and informed trading,"
Journal of Financial Markets, Elsevier, vol. 69(C).
- Guo, Qi & Huang, Shao'an & Wang, Gaowang, 2024. "Stabilizing the Financial Markets through Communication and Informed Trading," MPRA Paper 120072, University Library of Munich, Germany.
- Guo, Qi & Huang, Shao'an & Wang, Gaowang, 2022. "Stabilizing the Financial Markets through Informed Trading," MPRA Paper 115470, University Library of Munich, Germany.
- Liu, Zechu & Nikitopoulos, Christina Sklibosios & Phua, Kenny & Wang, Jianxin, 2025. "Data-driven monetary policy: Evidence from the Bank of Japan’s equity purchase program," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).
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More about this item
Keywords
large-scale asset purchases (LSAP); ETF purchase program; capital asset pricing model (CAPM); Bank of Japan;All these keywords.
JEL classification:
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2022-09-05 (Banking)
- NEP-CBA-2022-09-05 (Central Banking)
- NEP-FMK-2022-09-05 (Financial Markets)
- NEP-MON-2022-09-05 (Monetary Economics)
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