We explore the transmission of the ECB's public sector asset purchase programme (PSPP) via the portfolio rebalancing of investment funds and their investors. Evidence for this channel would validate several theoretical propositions and provide insights into market perceptions of intervention...

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 2,625 non-financial firms in the Euro-zone. Announcement returns are positively correlated with leverage and negatively with size, consistent...