This makes estimating the impact of bond purchase programs quite challenging. It is one explanation why empirical work tends to find that subsequent QE programs have a smaller impact than the first program. It is hard to separate out what the market had already been anticipating in terms of future bond purchases.
We don't have good measures of the expectations of market participants about the size of the whole program of bond purchases, particularly at the time of initial announcement. There is no obvious bond market equivalent to the OIS curve, which provides a read on the market's expectations about the future path of the policy rate.