Bank of Japan's ETF purchase program and equity risk premium: A CAPM interpretation

被引：0
|
作者：
Katagiri, Mitsuru [1 ]
Shino, Junnosuke [2 ]
Takahashi, Koji [3 ]
机构：
[1] Hosei Univ, Dept Business Adm, Tokyo, Japan
[2] Waseda Univ, Sch Int Liberal Studies, 1-6-1 Nishiwaseda,Shinjuku Ku, Tokyo 1698050, Japan
[3] Bank Japan, Chuo, Japan
来源：
JOURNAL OF FINANCIAL MARKETS | 2025年 / 73卷
基金：
日本学术振兴会;
关键词：
Large-scale asset purchases (LSAP); ETF purchase program; Capital asset pricing model (CAPM); Bank of Japan; ASSET; MARKET;
D O I：
10.1016/j.finmar.2025.100961
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页数：20
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