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An Analysis of US Financial Stock Returns Post Announcements of Quantitative Easing: An investigation post the 2008 financial crisis

Duncan, Iain (2020) An Analysis of US Financial Stock Returns Post Announcements of Quantitative Easing: An investigation post the 2008 financial crisis. Masters thesis, Dublin, National College of Ireland.

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Abstract

Post the financial crisis of 2008 the accusation has been made that the very companies, namely the largest financial sector players, who caused the crisis were in fact seeing a greater benefit from the measures put in place to protect the economy than other market participants. Due to the nature of the crisis and the systemic importance of the institutions involved, the policy reactions were inevitably focused on shoring up the balance sheets of these companies through the purchase of distressed assets or Quantitative Easing as the policy is known. The policy measures were meant to act as a safeguard to the institutions in question but also as a spark to the wider economy. This analysis focused on three of the largest financial institutions involved in the crisis and two market indices and a random stock for comparison. Comparative studies were conducted across key dates in the life of quantitative easing lifetime analyzing measures of return, correlation, and finally specific event study. Across the timeline each of the subjects achieved strong returns and though significant increases in correlation between our financial stocks occurred in periods post QE, particularly as the economic recovery took hold, our results show no statistical significance between the returns for our stocks within the financial sector and the market in general.

Keywords: Quantitative Easing, Event Studies, post crisis, Financial sector, Federal Reserve

Item Type: Thesis (Masters)
Subjects: H Social Sciences > HB Economic Theory > Business Cycles. Economic Fluctuations
H Social Sciences > HC Economic History and Conditions > Economic Recession
H Social Sciences > HG Finance > Investment > Stock Exchange
Divisions: School of Business > Master of Science in Finance
Depositing User: Dan English
Date Deposited: 15 Feb 2021 14:41
Last Modified: 15 Feb 2021 14:41
URI: http://norma.ncirl.ie/id/eprint/4760

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