Barbon, AndreaAndreaBarbonGianinazzi, VirginiaVirginiaGianinazziFoucault, Thierry2023-04-132023-04-132019-12https://www.alexandria.unisg.ch/handle/20.500.14171/9797210.1093Since the introduction of its Quantitative and Qualitative Easing program in 2013, the Bank of Japan has been increasing its holdings of Japanese equity through large scale purchases of index-linked ETFs, to lower risk premia. We exploit the cross-sectional heterogeneity of the supply shock to identify a positive and persistent impact on stock prices, consistent with a portfolio balance channel. The evidence suggests that long-run demand curves for stocks are downward sloping with unitary price elasticity. We show that the purchases of ETFs tracking the price-weighted Nikkei 225 generate pricing distortions relative to a value-weighted benchmark.enjournal article