Auflistung LIF-SAFE Working Papers nach Autor "Simon, Zorka"
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A Modern Take on Market Efficiency: The Impact of Trump’s Tweets on Financial Markets
Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; Getmansky, Mila; Simon, Zorka (2021-05-06)We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its use for government communication affects the aggregate stock markets. To measure this effect, we ... -
Collateral Eligibility of Corporate Debt in the Eurosystem
Pelizzon, Loriana; Riedel, Max; Simon, Zorka; Subrahmanyam, Marti G. (2020-04-01)We study how the Eurosystem Collateral Framework for corporate bonds helps the European Central Bank (ECB) fulfill its policy mandate. Using the ECBs eligibility list, we identify the first inclusion date of both bonds and ... -
Market impact of government communication: The case of presidential tweets
Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; Getmansky, Mila; Simon, Zorka (2021-10-06)"We propose the ""President reacts to news"" channel of stock returns by studying the financial market impact of the Twitter account of the 45th president of the United States, Donald Trump. We use machine learning algorithms ... -
Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds
Driessen, Joost; Nijman, Theodore E.; Simon, Zorka (2018-11-01)Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we ... -
The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets
Driessen, Joost; Nijman, Theo E.; Simon, Zorka (2017-09-01)Fleckenstein et al. (2014) document that nominal Treasuries trade at higher prices than inflation-swapped indexed bonds, which exactly replicate the nominal cash flows. We study whether this mispricing arises from liquidity ... -
The Pricing Implications of Oligopolistic Securities Lending Market: A Beneficial Owner Perspective
Huszár, Zsuzsa R.; Simon, Zorka (2018-06-15)In the last decade, central bank interventions, flights to safety, and the shift in derivatives clearing resulted in exceptionally high demand for high quality liquid assets, such as German treasuries, in the securities ...