Do financial markets learn from ECB monetary policy?

This article examines the magnitude of stock market reactions to European Central Bank (ECB) monetary policy announcements. Since the introduction of the ECB, declining absolute abnormal returns have been compatible with the theory that stock markets learn from ECB monetary policy. In particular, Eurozone financial markets extract information from the ECB announcements and consider this information before making investment decisions. Furthermore, the predictability of ECB monetary policy has been increasing over time.