All Publications

ZORA Publication List

Publications

• Journal Article

  • 2025

    • Leippold, Markus; Vaghefi, Saeid Ashraf; Stammbach, Dominik; Muccione, Veruska; Bingler, Julia; Ni, Jingwei; Colesanti Senni, Chiara; Wekhof, Tobias; Schimanski, Tobias; Gostlow, Glen; Yu, Tingyu; Luterbacher, Juerg; Huggel, Christian (2025). Automated fact-checking of climate claims with large language models. npj Climate Action, 4(1):17.
    • Colesanti Senni, Chiara; Schimanski, Tobias; Bingler, Julia; Ni, Jingwei; Leippold, Markus (2025). Using AI to assess corporate climate transition disclosures. Environmental Research, 7(2):021010.

  • 2024

    • Leippold, Markus; Wang, Qian; Yang, Min (2024). Technical patterns and news sentiment in stock markets. Journal of Finance and Data Science, 10:100145.
    • Muccione, Veruska; Vaghefi, Saeid Ashraf; Bingler, Julia; Allen, Simon K; Kraus, Mathias; Gostlow, Glen; Wekhof, Tobias; Colesanti-Senni, Chiara; Stammbach, Dominik; Ni, Jingwei; Schimanski, Tobias; Yu, Tingyu; Wang, Qian; Huggel, Christian; Luterbacher, Juerg; Biesbroek, Robbert; Leippold, Markus (2024). Integrating artificial intelligence with expert knowledge in global environmental assessments: opportunities, challenges and the way ahead. Regional Environmental Change, 24(3):121.
    • Bingler, Julia Anna; Kraus, Mathias; Leippold, Markus; Webersinke, Nicolas (2024). How cheap talk in climate disclosures relates to climate initiatives, corporate emissions, and reputation risk. Journal of Banking and Finance, 164:107191.
    • Dreber, Anna; Holzmeister, Felix; Huber, Jürgen; Johannesson, Magnus; Leippold, Markus; Menkveld, Albert; Östberg, Per; Zeisberger, Stefan; et al (2024). Nonstandard Errors. Journal of Finance, 79(3):2339-2390.
    • Filippini, Massimo; Leippold, Markus; Wekhof, Tobias (2024). Sustainable finance literacy and the determinants of sustainable investing. Journal of Banking and Finance, 163:107167.
    • Schimanski, Tobias; Reding, Andrin; Reding, Nico; Bingler, Julia; Kraus, Mathias; Leippold, Markus (2024). Bridging the gap in ESG measurement: Using NLP to quantify environmental, social, and governance communication. Finance Research Letters, 61:104979.
    • Kölbel, Julian; Leippold, Markus; Rillaerts, Jordy; Wang, Qian (2024). Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks affects the CDS Term Structure. Journal of Financial Econometrics, 22(1):30-69.

  • 2023

    • Vaghefi, Saeid Ashraf; Stammbach, Dominik; Muccione, Veruska; Bingler, Julia; Ni, Jingwei; Kraus, Mathias; Allen, Simon; Colesanti-Senni, Chiara; Wekhof, Tobias; Schimanski, Tobias; Gostlow, Glen; Yu, Tingyu; Wang, Qian; Webersinke, Nicolas; Huggel, Christian; Leippold, Markus (2023). ChatClimate: Grounding conversational AI in climate science. Communications Earth & Environment, 4:480.
    • Leippold, Markus; Yang, Hanlin (2023). Mixed-Frequency Predictive Regressions. Journal of Forecasting, 42(8):1955-1972.
    • Leippold, Markus (2023). Sentiment spin: Attacking financial sentiment with GPT-3. Finance Research Letters, 55(B):103957.
    • Leippold, Markus (2023). Thus spoke GPT-3: Interviewing a large-language model on climate finance. Finance Research Letters, 53:103617.
    • Leippold, Markus; Svatoň, Michal (2023). Trend and Reversal of Idiosyncratic Volatility Revisited. Critical Finance Review, 12(1-4):171-202.

  • 2022

    • De Nard, Gianluca; Hediger, Simon; Leippold, Markus (2022). Subsampled Factor Models for Asset Pricing: The Rise of Vasa. Journal of Forecasting, 41(6):1217-1247.
    • Leippold, Markus; Wang, Qian; Zhou, Wenyu (2022). Machine-Learning in the Chinese Factor Zoo. Journal of Financial Economics, 145(2):64-82.
    • Leippold, Markus; Matthys, Felix (2022). Economic Policy Uncertainty and the Yield Curve. Review of Finance, 26(4):751-797.
    • Bingler, Julia Anna; Kraus, Mathias; Leippold, Markus; Webersinke, Nicolas (2022). Cheap talk and cherry-picking: What climatebert has to say on corporate climate risk disclosures. Finance Research Letters, 47:102776.
    • Hain, Linda Isabella; Kölbel, Julian; Leippold, Markus (2022). Let’s Get Physical: Comparing Metrics of Physical Climate Risk. Finance Research Letters, 46:102406.

  • 2021

    • Leippold, Markus; Rüegg, Roger (2021). Fama–French Factor Timing: The Long-Only Integrated Approach. European financial management, 27(4):666-700.

  • 2020

    • Leippold, Markus; He, Yunhao (2020). Short-run risk, business cycle, and the value premium. Journal of Economic Dynamics and Control, 120:103993.
    • Leippold, Markus; Rüegg, Roger (2020). How rational and competitive is the market for mutual funds?. Review of Finance, 24(3):579-613.
    • Leippold, Markus; Bernardi, Simone; Lohre, Harald (2020). Second-Order Risk of Alternative Risk Parity Strategies. Journal of Risk, 21(3):1-25.
    • Leippold, Markus; Vasiljevic, Nikola (2020). Option-Implied Intrahorizon Value at Risk. Management Science, 66(1):397-414.

  • 2019

    • Leippold, Markus; Yang, Hanlin (2019). Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models. Econometrics and Statistics, 12:25-41.
    • Bardgett, Chris; Gourier, Elise; Leippold, Markus (2019). Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. Journal of Financial Economics, 131(3):593-618.

  • 2018

    • Rüegg, Roger; Leippold, Markus (2018). The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing?. European financial management, 24(5):829-855.
    • Bloechlinger, Andreas; Leippold, Markus (2018). Are ratings the worst form of credit assessment apart from all the others?. Journal of Financial and Quantitative Analysis, 53(1):299-334.
    • Leippold, Markus; Bernardi, Simone; Lohre, Harald (2018). Maximum diversification strategies along commodity risk factors. European financial management, 24(1):53-78.

  • 2017

    • Leippold, Markus; Stromberg, Jacob (2017). Strategic technology adoption and hedging under incomplete markets. Journal of Banking and Finance, 81:181-199.
    • Leippold, Markus; Vasiljevic, Nikola (2017). Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model. Journal of Banking and Finance, 77:78-94.
    • Leippold, Markus; Schärer, Steven (2017). Discrete-time option pricing with stochastic liquidity. Journal of Banking and Finance, 75:1-16.

  • 2015

    • Leippold, Markus; Su, Lujing (2015). Collateral smile. Journal of Banking and Finance, 58:15 - 28.
    • Calvet, Laurent E; Fearnley, Marcus; Fisher, Adlai J; Leippold, Markus (2015). What is beneath the surface? Option pricing with multifrequency latent states. Journal of Econometrics, 187(2):498-511.

  • 2014

    • Leippold, Markus; Lohre, Harald (2014). The Dispersion Effect in International Stock Returns. Journal of Empirical Finance, 29:331-342.
    • Leippold, Markus; Strømberg, Jacob (2014). Time-changed Levy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube. Journal of Financial Economics, 111(1):224-250.

  • 2012

    • Leippold, Markus; Rohner, Philippe (2012). Equilibrium implications of delegated asset management under benchmarking. Review of Finance, 16(4):935-984.
    • Leippold, Markus; Lohre, Harald (2012). Data snooping and the global accrual anomaly. Applied Financial Economics, 22(7):509-535.
    • Leippold, Markus; Cheng, Jun; Ibraimi, Meriton; Zhang, Jin E (2012). A remark on Lin's and Chang's pager 'Consistent modelling of S&P500 and VIX derivatives'. Journal of Economic Dynamics and Control, 36(5):7'8-715.
    • Leippold, Markus; Lohre, Harald (2012). International price and earnings momentum. The European Journal of Finance, 18(6):535-573.

  • 2011

    • Leippold, Markus; Bloechlinger, Andreas (2011). A new goodness of fit test for event forecasting and its application to credit default. Management Science, 57(3):487-505.
    • Leippold, Markus; Trojani, Fabio; Vanini, Paolo (2011). Multiperiod mean-variance efficient portfolios with endogenous liabilities. Quantitative Finance, 11(10):1535-1546.

  • 2010

    • Egloff, Daniel; Leippold, Markus; Wu, Liuren (2010). The term structure of variance swap rates and optimal variance swap investments. Journal of Financial and Quantitative Analysis, 45(5):1279-1310.
    • Leippold, Markus; Egloff, Daniel (2010). Quantile Estimation with Adaptive Importance Sampling. Annals of Statistics, 38(2):1244-1278.

  • 2009

    • Leippold, Markus; Egloff, Daniel (2009). American Options with Stochastic Stopping Time Constraints. Applied Mathematical Finance, 16(3):287-305.

  • 2008

    • Leippold, Markus; Vanini, Paolo; Trojani, Fabio (2008). Learning and Asset Pricing under Uncertainty. Review of Financial Studies, 21(6):2565-2597.

  • 2007

    • Egloff, Daniel; Leippold, Markus; Vanini, Paolo (2007). A simple model of credit contagion. Journal of Banking and Finance, 31(8):2475-2492.
    • Syz, Jürg; Leippold, Markus (2007). Trend derivatives: pricing, hedging, and application to executive stock options. Journal of Futures Markets, 27(2):151-186.
    • Leippold, Markus; Wu, Liuren (2007). Design and estimation of multi-currency quadratic models. Review of Finance, 11(2):167-207.

  • 2006

    • Vanini, Paolo; Ebnoether, Silvan; Leippold, Markus (2006). Optimal credit limit management under different information regimes. Journal of Banking and Finance, 30:463-487.

Pagination