Stock market effects of ECB's Asset Purchase Programmes: Firm-level evidence

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 2625 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.