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- W3033581639 abstract "The Bank of Japan (BOJ) increased its Large-Scale Asset Purchase and zero-interest-rate policy in October 2010 through the purchase of equity exchange-traded funds (ETFs) to reduce equity risk premia. During 2020, amid the coronavirus disease (COVID-19) pandemic, the BOJ doubled the annual target amount. This study demonstrates that the BOJ provides downside protection to equity investors, through the counter-cyclical purchase of ETFs, in response to negative overnight and morning stock returns. The program takes effect through the scarcity channel, since post-purchase intraday returns proportionately increase with the BOJ’s purchase intensity, especially during COVID-19. In contrast, the announcement of doubling the purchase amount did not have an immediate effect on stock prices. Nevertheless, we observe a consistent increase in stock prices and decrease in volatility after the announcement, even after the BOJ de-intensified emergency interventions. Therefore, the BOJ’s commitment to counter-cyclical ETF purchase is shown to be a cost-effective way to prevent equity risk premia from increasing during an economic downturn." @default.
- W3033581639 created "2020-06-12" @default.
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- W3033581639 date "2020-01-01" @default.
- W3033581639 modified "2023-10-02" @default.
- W3033581639 title "Bank of Japan as a Contrarian Stock Investor: Large-Scale ETF Purchases" @default.
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- W3033581639 doi "https://doi.org/10.2139/ssrn.3575835" @default.
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