The effect of ECB's pandemic emergency purchase program to European corporate bond yields

I assess the effect of European Central Bank’s Pandemic Emergency Purchase Program (PEPP) to the European corporate bond yields in the secondary market during the year 2020. I find evidence suggesting that bonds eligible to the program experienced significantly larger decrease in yield spreads (swap spreads) after the initial announcement of the purchase program (announcement effect) as well as after the start of the ECB’s purchases (direct effect). The announcement effect after the third PEPP announcement in December 2020 is completely different as eligible bonds increased more in yield spread