Journal Publications

ZORA Publication List

Publications

• 2024

  • 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.

• 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.
  • Leippold, Markus; Svaton, Michal (2019). Trend and reversal of idiosyncratic volatility revisited. Critical Finance Review:Epub ahead of print.
  • 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.

Pagination