Template-Type: ReDIF-Paper 1.0
Author-Name: Mitsuru Katagiri
Author-X-Name-First: Mitsuru 
Author-X-Name-Last: Katagiri
Author-Name: Junnosuke Shino
Author-X-Name-First: Junnosuke 
Author-X-Name-Last: Shino
Author-Name: Koji Takahashi
Author-X-Name-First: Koji
Author-X-Name-Last: Takahashi
Title: To lend or not to lend: the Bank of Japan's ETF purchase program and securities lending
Abstract: This study investigates the effects of the Bank of Japan's (BOJ) exchange-traded fund (ETF) purchase program on stock returns, particularly focusing on the role of the stock lending market. Using firm-level panel data, we find that the BOJ's purchases raised stock returns more for those stocks with limited availability in the stock lending market. Nonetheless, over the longer term, the BOJ's accumulated purchases lowered lending fees and weakened the effects of their purchases on stock returns. This result suggests that ETF managers supply stocks that constitute ETFs held by the BOJ to the stock lending market, which weakens the policy effects of the program.
Creation-Date: 2023-08
File-URL: https://www.bis.org/publ/work1113.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work1113.htm
File-Format: text/html
Number: 1113
Keywords: large-scale asset purchase (LSAP), ETF purchase program, stock lending market, Bank of Japan
Classification-JEL: E58, G12, G14
Handle: RePEc:bis:biswps:1113