Zorka Simon

Leibniz Institute for Financial Research SAFE

(http://www.safe-frankfurt.de)

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

SCHOLARLY PAPERS

6

DOWNLOADS

1,136

SSRN CITATIONS

8

CROSSREF CITATIONS

10

Ideas:
“  I am currently working on projects that examine the effects of the trading and regulatory environment on fixed income pricing. My latest projects involve green bond pricing, the market impact of government communication, and sovereign bond auctions and pricing during the COVID-19 pandemic.  ”

Scholarly Papers (6)

1.

Market Impact of Government Communication: The Case of Presidential Tweets

SAFE Working Paper No. 314
Number of pages: 86 Posted: 06 May 2021 Last Revised: 06 Oct 2021
University of Massachusetts Amherst, Goethe University Frankfurt - Faculty of Economics and Business Administration, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Leibniz Institute for Financial Research SAFE
Downloads 308 (137,340)
Citation 1

Abstract:

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Government communication, Social media, Twitter, Machine learning, ETFs

2.

Collateral Eligibility of Corporate Debt in the Eurosystem

SAFE Working Paper No. 275, NYU Stern School of Business
Number of pages: 101 Posted: 27 Apr 2020 Last Revised: 12 Nov 2020
Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz Institute for Financial Research SAFE, Leibniz Institute for Financial Research SAFE and New York University (NYU) - Leonard N. Stern School of Business
Downloads 266 (159,630)
Citation 2

Abstract:

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Collateral Policy, ECB, Corporate Bonds, Eligibility premium

The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets

SAFE Working Paper No. 183
Number of pages: 52 Posted: 26 Sep 2017
Joost Driessen, Theo Nijman and Zorka Simon
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Tilburg University School of Economics and Management and Leibniz Institute for Financial Research SAFE
Downloads 130 (300,147)
Citation 7

Abstract:

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Liquidity premium, liquidity risk, TIPS, inflation swaps, TIPS–Treasury puzzle

The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets

Netspar Discussion Paper No. 02/2014-066
Number of pages: 38 Posted: 14 Feb 2015
Joost Driessen, Theo Nijman and Zorka Simon
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Tilburg University School of Economics and Management and Leibniz Institute for Financial Research SAFE
Downloads 120 (318,714)

Abstract:

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Liquidity premium, liquidity risk, TIPS, inflation swaps

4.

Not Risk Free: The Relative Pricing of Euro Area Inflation-Indexed and Nominal Bonds

Netspar Discussion Paper No. 11/2015-074
Number of pages: 46 Posted: 08 Mar 2016
Zorka Simon
Leibniz Institute for Financial Research SAFE
Downloads 113 (330,667)
Citation 1

Abstract:

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Inflation-linked bond, breakeven rate, credit risk, liquidity risk, selective default

5.

The Pricing Implications of the Oligopolistic Securities Lending Market: A Beneficial Owner Perspective

SAFE Working Paper No. 215
Number of pages: 56 Posted: 17 Jul 2018
Central European UniversityNational University of Singapore and Leibniz Institute for Financial Research SAFE
Downloads 107 (343,294)
Citation 2

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6.

Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds

SAFE Working Paper No. 238
Number of pages: 63 Posted: 11 Dec 2018 Last Revised: 16 Apr 2019
Joost Driessen, Theo Nijman and Zorka Simon
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Tilburg University School of Economics and Management and Leibniz Institute for Financial Research SAFE
Downloads 92 (378,452)
Citation 3

Abstract:

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Sovereign Bonds, Term Structure of Interest Rates, Segmentation, Liquidity, Flight-to-safety, Credit Risk, Unconventional Monetary Policy