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Purpose Whereas much of previous literature focuses upon the impact on yields from the Federal Reserve’s large-scale asset purchases (LSAPs), the purpose of this paper is to study the changes to expected returns.Design/methodology/approach This empirical investigation offers support for changes to risk premia coincident with LSAPs.Findings For both equity and bonds, the authors find evidence for supply/demand LSAPs effects; the equity effects are consistent with a substitution effect from bonds to equities, whereas the bond effects appear to be an anomaly.Originality/value The findings represent new insight for weighing the efficacy and identifying the scope of LSAPs. [ABSTRACT FROM AUTHOR]