Stock Market Effects of ECB's Asset Purchase Programmes: Firm-Level Evidence
20 Pages Posted: 19 Apr 2018 Last revised: 13 May 2018
Date Written: May 9, 2018
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 2,625 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
JEL Classification: E52, E58, G14
Suggested Citation: Suggested Citation