Journal Publications

ZORA Publication List

Publications

• 2022

  • Leippold, M., Wang, Q., & Zhou, W. (2022). Machine-Learning in the Chinese Factor Zoo Journal of Financial Economics, 145, 64–82. https://doi.org/10.1016/j.jfineco.2021.08.017
  • Leippold, M., & Matthys, F. (2022). Economic Policy Uncertainty and the Yield Curve Review of Finance, 26, 751–797. https://doi.org/10.1093/rof/rfac031
  • Bingler, J. A., Kraus, M., Leippold, M., & Webersinke, N. (2022). Cheap talk and cherry-picking: What climatebert has to say on corporate climate risk disclosures Finance Research Letters, 47, 102776. https://doi.org/10.1016/j.frl.2022.102776
  • Hain, L. I., Kölbel, J., & Leippold, M. (2022). Let’s Get Physical: Comparing Metrics of Physical Climate Risk Finance Research Letters, 46, 102406. https://doi.org/10.1016/j.frl.2021.102406

• 2021

  • Leippold, M., & Rüegg, R. (2021). Fama–French Factor Timing: The Long-Only Integrated Approach European Financial Management, 27, 666–700. https://doi.org/10.1111/eufm.12285

• 2020

  • Leippold, M., & He, Y. (2020). Short-run risk, business cycle, and the value premium Journal of Economic Dynamics and Control, 120, 103993. https://doi.org/10.1016/j.jedc.2020.103993
  • Leippold, M., & Rüegg, R. (2020). How rational and competitive is the market for mutual funds? Review of Finance, 24, 579–613. https://doi.org/10.1093/rof/rfz011
  • Leippold, M., & Vasiljevic, N. (2020). Option-Implied Intrahorizon Value at Risk Management Science, 66, 397–414. https://doi.org/10.1287/mnsc.2018.3157
  • Leippold, M., Bernardi, S., & Lohre, H. (2020). Second-Order Risk of Alternative Risk Parity Strategies Journal of Risk, 21, 1–25. https://doi.org/10.21314/JOR.2018.401

• 2019

  • Leippold, M., & Yang, H. (2019). Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models Econometrics and Statistics, 12, 25–41. https://doi.org/10.1016/j.ecosta.2019.07.001
  • Bardgett, C., Gourier, E., & Leippold, M. (2019). Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets Journal of Financial Economics, 131, 593–618. https://doi.org/10.1016/j.jfineco.2018.09.008

• 2018

  • Rüegg, R., & Leippold, M. (2018). The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing? European Financial Management, 24, 829–855. https://doi.org/10.1111/eufm.12139
  • Bloechlinger, A., & Leippold, M. (2018). Are ratings the worst form of credit assessment apart from all the others? Journal of Financial and Quantitative Analysis, 53, 299–334. https://doi.org/10.1017/S0022109017000874
  • Leippold, M., Bernardi, S., & Lohre, H. (2018). Maximum diversification strategies along commodity risk factors European Financial Management, 24, 53–78. https://doi.org/10.1111/eufm.12122

• 2017

  • Leippold, M., & Stromberg, J. (2017). Strategic technology adoption and hedging under incomplete markets Journal of Banking and Finance, 81, 181–199. https://doi.org/10.1016/j.jbankfin.2016.09.008
  • Leippold, M., & Vasiljevic, N. (2017). Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model Journal of Banking and Finance, 77, 78–94. https://doi.org/10.1016/j.jbankfin.2017.01.014
  • Leippold, M., & Schärer, S. (2017). Discrete-time option pricing with stochastic liquidity Journal of Banking and Finance, 75, 1–16. https://doi.org/10.1016/j.jbankfin.2016.11.014

• 2015

  • Leippold, M., & Su, L. (2015). Collateral smile Journal of Banking and Finance, 58, 15–28. https://doi.org/10.1016/j.jbankfin.2015.03.019
  • Calvet, L. E., Fearnley, M., Fisher, A. J., & Leippold, M. (2015). What is beneath the surface? Option pricing with multifrequency latent states Journal of Econometrics, 187, 498–511. https://doi.org/10.1016/j.jeconom.2015.02.034

• 2014

  • Leippold, M., & Lohre, H. (2014). The Dispersion Effect in International Stock Returns Journal of Empirical Finance, 29, 331–342. https://doi.org/10.1016/j.jempfin.2014.09.001

Pagination