Markus Leippold

Education

• Lic. oec. University of St.Gallen, Switzerland, 1995;
• Ph.D. (finance and economics), University of St.Gallen, Switzerland, 1999;
• Habilitation, University of Zürich, Switzerland, 2004.

Research Interest

Asset Pricing, Portfolio Allocation and Investment Strategies, Risk Management

Honors, Awards and Grants

• 2012: Research Grant from the Dauphine-Amundi Chair in Asset Management, Paris-Dauphine University, for "Risk-Based Commodity Investing" (joint work with Simone Bernardi and Harald Lohre).
• 2011: The Sir Clive Granger Memorial Best Paper Prize 2011, Applied Financial Economics Prize, for "Data Snooping and the Global Accrual Anomaly" (joint work with Harald Lohre).
• 2009: Ranked 14th in the Handelsblatt Ranking of the top 100 researchers in Business Economics below age 40 and 49th in the overall ranking on research output since 2005. The ranking includes all researchers of Business Departments of German speaking universities in Austria, Germany and Switzerland.
• 2008: Research Grant from the Melbourne Centre for Financial Studies for "Financial Innovation, Bank Value, and Banking System Stability" (joint work with Carsten Murawksi)
• 2008: Research Grant from INQUIRE Europe for "International Dispersion and Momentum Effects"
• 2008: Research Grant from the Centre for Hedge Fund Research at Imperial College Business School for "Adaptive Momentum and Reversal Strategies" (joint work with Nick Baltas)
• 2007: Paper Price from INQUIRE Europe, INQUIRE UK and Q-Group for "Optimal Investments in Variance Contracts under Stochastic Volatility."
• 2006: INQUIRE Europe Research Grant for "Optimal Investments in Variance Contracts under Stochastic Volatility."
• 2004: STOXX Gold Award of the annual meeting of the European Financial Management Association (EFMA) for "A Simple Model of Credit Contagion."
• 2004: Operational Risk Achievement Award from RISK magazine (London) for "The Quantification of Operational Risk."
• 2003: Best Paper Award of the German Finance Association 2003 for "Equilibrium Impact of Value-at-Risk Regulation."
• 1998: Research Grant from the Swiss National Science Foundation.

Publications

Journal Article

• Option-Implied Intra-Horizon Value-at-Risk
• Leippold Markus, Vasiljevic Nikola
• In: Management Science, Vol. forthcoming, p. Epub ahead of print-Epub ahead of print, December 2019
• Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models
• Leippold Markus, Yang Hanlin
• In: Econometrics and Statistics, Vol. forthcoming, p. ---, August 2019
• Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
• Leippold Markus, Bardgett Chris, Gourier Elise
• In: Journal of Financial Economics, Vol. 131, (3), p. 593-618, March 2019
• How rational and competitive is the market for mutual funds?
• Leippold Markus, Rüegg Roger
• In: Review of Finance, Vol. forthcoming, p. Epub ahead of print-Epub ahead of print, January 2019
• The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing?
• Leippold Markus, Rüegg Roger
• In: European Financial Management, Vol. 24, (5), p. 829-855, November 2018
• Are ratings the worst form of credit assessment apart from all the others?
• Leippold Markus, Bloechlinger Andreas
• In: Journal of Financial and Quantitative Analysis, Vol. 53, (1), p. 299-334, January 2018
• Maximum diversification strategies along commodity risk factors
• Leippold Markus, Bernardi Simone, Lohre Harald
• In: European Financial Management, Vol. 24, (1), p. 53-78, January 2018
• Strategic technology adoption and hedging under incomplete markets
• Leippold Markus, Stromberg Jacob
• In: Journal of Banking and Finance, Vol. 81, p. 181-199, August 2017

Book (2)

• Zeitreihenanalyse in Finanzmärkten-Eine Einführung
• Leippold Markus
• Bookboon.com, Zurich, January 2012
• International Term Structure Models
• Leippold Markus
• Paul Haupt Verlag, Zurich, January 1999