Stock Market Effects of ECB's Asset Purchase Programmes: Firm-Level Evidence

20 Pages Posted: 19 Apr 2018 Last revised: 13 May 2018

See all articles by Kai Henseler

Kai Henseler

University of Marburg - School of Business & Economics

Marc Steffen Rapp

University of Marburg - School of Business & Economics; University of Marburg - Marburg Centre for Institutional Economics (MACIE); Copenhagen Business School - Department of International Economics and Management

Date Written: May 9, 2018

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 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

Henseler, Kai and Rapp, Marc Steffen, Stock Market Effects of ECB's Asset Purchase Programmes: Firm-Level Evidence (May 9, 2018). Economics Letters, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3153992 or http://dx.doi.org/10.2139/ssrn.3153992

Kai Henseler

University of Marburg - School of Business & Economics ( email )

Am Plan 2
Marburg, D-35037
Germany

Marc Steffen Rapp (Contact Author)

University of Marburg - School of Business & Economics ( email )

Am Plan 2
Marburg, D-35037
Germany

University of Marburg - Marburg Centre for Institutional Economics (MACIE) ( email )

Am Plan
Marburg, 35032
Germany

Copenhagen Business School - Department of International Economics and Management ( email )

Porcelænshaven 24A, 3rd floor
Copenhagen
Denmark

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