23.04.2018 New publication in Economics Letters

The paper “Stock market effects of ECB’s Asset Purchase Programmes: Firm-level evidence” by Kai Henseler and Prof. Marc Steffen Rapp has been accepted for publication in Economics Letters. The paper studies how stock prices react to ECB’s Asset Purchase Programmes. Using an event-study approach, the authors 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 the authors examine programme initiation announcements.

A summary of the paper is available here.

The working paper is available here.