TY - JOUR
T1 - Bank of Japan's ETF purchase program and equity risk premium
T2 - A CAPM interpretation
AU - Katagiri, Mitsuru
AU - Shino, Junnosuke
AU - Takahashi, Koji
N1 - Publisher Copyright:
© 2025 The Authors
PY - 2025/3
Y1 - 2025/3
N2 - We investigate the effects of the Bank of Japan's (BOJ's) exchange-traded fund (ETF) purchase program on equity risk premia. Utilizing the cross-sectional variations in the amount of individual stock that the BOJ has indirectly purchased in the program, the empirical analysis reveals that: (i) the BOJ's ETF purchases instantaneously support stock prices on purchase, and (ii) the positive effects on stock prices, combined with the countercyclical nature of the BOJ's purchases, affect the market beta and coskewness of Japanese stocks, leading to an economically significant decline in risk premia.
AB - We investigate the effects of the Bank of Japan's (BOJ's) exchange-traded fund (ETF) purchase program on equity risk premia. Utilizing the cross-sectional variations in the amount of individual stock that the BOJ has indirectly purchased in the program, the empirical analysis reveals that: (i) the BOJ's ETF purchases instantaneously support stock prices on purchase, and (ii) the positive effects on stock prices, combined with the countercyclical nature of the BOJ's purchases, affect the market beta and coskewness of Japanese stocks, leading to an economically significant decline in risk premia.
KW - Bank of Japan
KW - Capital asset pricing model (CAPM)
KW - ETF purchase program
KW - Large-scale asset purchases (LSAP)
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U2 - 10.1016/j.finmar.2025.100961
DO - 10.1016/j.finmar.2025.100961
M3 - Article
AN - SCOPUS:85215624243
SN - 1386-4181
VL - 73
JO - Journal of Financial Markets
JF - Journal of Financial Markets
M1 - 100961
ER -