Bank of Japan’s ETF purchase program and equity risk premium: A CAPM interpretation
利用日本央行ETF购买计划中个股被间接购买的横截面差异，发现该计划通过降低市场贝塔和协偏度，显著降低了日本股票的股权风险溢价。
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. • Countercyclical BOJ purchases lower Japanese equity risk premia. • BOJ’s ETF program reduces market beta and coskewness of stocks. • Decline in risk premia significantly boosts Japanese stock prices. • Panel data reveal cross-sectional effects of BOJ’s ETF purchases.