All Publications

ZORA Publication List

Publications

• Journal Article

  • 2026

    • Spacey Martín, R., Ranger, N., Schimanski, T., & Leippold, M. (2026). Empirically assessing corporate adaptation and resilience disclosure using AI Npj Climate Action, 5, 22. https://doi.org/10.1038/s44168-025-00321-7

  • 2025

    • Colesanti Senni, C., Vaghefi, A. S., Manekar, T., Schimanski, T., & Leippold, M. (2025). Using AI to assess the decision-usefulness of corporates’ nature-related disclosures Environmental Research Communications, 7, 115006. https://doi.org/10.1088/2515-7620/ae1357
    • Leippold, M., & Yu, T. (2025). Firm-Level Green Innovation Beyond Patents Review of Finance, rfaf058. https://doi.org/10.1093/rof/rfaf058
    • Leippold, M., Vaghefi, S. A., Stammbach, D., Muccione, V., Bingler, J., Ni, J., Colesanti Senni, C., Wekhof, T., Schimanski, T., Gostlow, G., Yu, T., Luterbacher, J., & Huggel, C. (2025). Automated fact-checking of climate claims with large language models Npj Climate Action, 4, 17. https://doi.org/10.1038/s44168-025-00215-8
    • Colesanti Senni, C., Schimanski, T., Bingler, J., Ni, J., & Leippold, M. (2025). Using AI to assess corporate climate transition disclosures Environmental Research, 7, 021010. https://doi.org/10.1088/2515-7620/ad9e88

  • 2024

    • Leippold, M., Wang, Q., & Yang, M. (2024). Technical patterns and news sentiment in stock markets Journal of Finance and Data Science, 10, 100145. https://doi.org/10.1016/j.jfds.2024.100145
    • Muccione, V., Vaghefi, S. A., Bingler, J., Allen, S. K., Kraus, M., Gostlow, G., Wekhof, T., Colesanti-Senni, C., Stammbach, D., Ni, J., Schimanski, T., Yu, T., Wang, Q., Huggel, C., Luterbacher, J., Biesbroek, R., & Leippold, M. (2024). Integrating artificial intelligence with expert knowledge in global environmental assessments: opportunities, challenges and the way ahead Regional Environmental Change, 24, 121. https://doi.org/10.1007/s10113-024-02283-8
    • Bingler, J. A., Kraus, M., Leippold, M., & Webersinke, N. (2024). How cheap talk in climate disclosures relates to climate initiatives, corporate emissions, and reputation risk Journal of Banking and Finance, 164, 107191. https://doi.org/10.1016/j.jbankfin.2024.107191
    • Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Leippold, M., Menkveld, A., Östberg, P., Zeisberger, S., & et al. (2024). Nonstandard Errors Journal of Finance, 79, 2339–2390. https://doi.org/10.1111/jofi.13337
    • Filippini, M., Leippold, M., & Wekhof, T. (2024). Sustainable finance literacy and the determinants of sustainable investing Journal of Banking and Finance, 163, 107167. https://doi.org/10.1016/j.jbankfin.2024.107167
    • Schimanski, T., Reding, A., Reding, N., Bingler, J., Kraus, M., & Leippold, M. (2024). Bridging the gap in ESG measurement: Using NLP to quantify environmental, social, and governance communication Finance Research Letters, 61, 104979. https://doi.org/10.1016/j.frl.2024.104979
    • Kölbel, J., Leippold, M., Rillaerts, J., & Wang, Q. (2024). Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks affects the CDS Term Structure Journal of Financial Econometrics, 22, 30–69. https://doi.org/10.1093/jjfinec/nbac027

  • 2023

    • Vaghefi, S. A., Stammbach, D., Muccione, V., Bingler, J., Ni, J., Kraus, M., Allen, S., Colesanti-Senni, C., Wekhof, T., Schimanski, T., Gostlow, G., Yu, T., Wang, Q., Webersinke, N., Huggel, C., & Leippold, M. (2023). ChatClimate: Grounding conversational AI in climate science Communications Earth & Environment, 4, 480. https://doi.org/10.1038/s43247-023-01084-x
    • Leippold, M., & Yang, H. (2023). Mixed-Frequency Predictive Regressions Journal of Forecasting, 42, 1955–1972. https://doi.org/10.1002/for.2999
    • Leippold, M. (2023). Sentiment spin: Attacking financial sentiment with GPT-3 Finance Research Letters, 55, 103957–103957. https://doi.org/10.1016/j.frl.2023.103957
    • Leippold, M., & Svatoň, M. (2023). Trend and Reversal of Idiosyncratic Volatility Revisited Critical Finance Review, 12, 171–202. https://doi.org/10.1561/104.00000129
    • Leippold, M. (2023). Thus spoke GPT-3: Interviewing a large-language model on climate finance Finance Research Letters, 53, 103617–103617. https://doi.org/10.1016/j.frl.2022.103617

  • 2022

    • De Nard, G., Hediger, S., & Leippold, M. (2022). Subsampled Factor Models for Asset Pricing: The Rise of Vasa Journal of Forecasting, 41, 1217–1247. https://doi.org/10.1002/for.2859
    • 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., 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
    • Leippold, M., & Vasiljevic, N. (2020). Option-Implied Intrahorizon Value at Risk Management Science, 66, 397–414. https://doi.org/10.1287/mnsc.2018.3157

  • 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., & Strømberg, J. (2014). Time-changed Levy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube Journal of Financial Economics, 111, 224–250. https://doi.org/10.1016/j.jfineco.2013.08.016
    • 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

  • 2012

    • Leippold, M., Cheng, J., Ibraimi, M., & Zhang, J. 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, 7'8-715. https://doi.org/10.1016/j.jedc.2012.01.002
    • Leippold, M., & Lohre, H. (2012). Data snooping and the global accrual anomaly Applied Financial Economics, 22, 509–535. https://doi.org/10.1080/09603107.2011.631892
    • Leippold, M., & Rohner, P. (2012). Equilibrium implications of delegated asset management under benchmarking Review of Finance, 16, 935–984. https://doi.org/10.1093/rof/rfq036
    • Leippold, M., & Lohre, H. (2012). International price and earnings momentum The European Journal of Finance, 18, 535–573. https://doi.org/10.1080/1351847X.2011.628683

  • 2011

    • Leippold, M., & Bloechlinger, A. (2011). A new goodness of fit test for event forecasting and its application to credit default Management Science, 57, 487–505. https://doi.org/10.1287/mnsc.1100.1283
    • Leippold, M., Trojani, F., & Vanini, P. (2011). Multiperiod mean-variance efficient portfolios with endogenous liabilities Quantitative Finance, 11, 1535–1546. https://doi.org/10.1080/14697680902950813

  • 2010

    • Egloff, D., Leippold, M., & Wu, L. (2010). The term structure of variance swap rates and optimal variance swap investments Journal of Financial and Quantitative Analysis, 45, 1279–1310. https://doi.org/10.1017/S0022109010000463
    • Leippold, M., & Egloff, D. (2010). Quantile Estimation with Adaptive Importance Sampling Annals of Statistics, 38, 1244–1278. https://doi.org/10.1214/09-AOS745

  • 2009

    • Leippold, M., & Egloff, D. (2009). American Options with Stochastic Stopping Time Constraints Applied Mathematical Finance, 16, 287–305. https://doi.org/10.1080/13504860802645706

  • 2008

    • Leippold, M., Vanini, P., & Trojani, F. (2008). Learning and Asset Pricing under Uncertainty Review of Financial Studies, 21, 2565–2597. http://rfs.oxfordjournals.org/content/21/6/2565.short

  • 2007

    • Egloff, D., Leippold, M., & Vanini, P. (2007). A simple model of credit contagion Journal of Banking and Finance, 31, 2475–2492. https://doi.org/10.1016/j.jbankfin.2006.10.023

Pagination