Heiko Jacobs

University of Mannheim, Finance Department

SCHOLARLY PAPERS

12

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CITATIONS
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SSRN RANKINGS

Top 25,441

in Total Papers Citations

10

Scholarly Papers (12)

1.

How Should Individual Investors Diversify? An Empirical Evaluation of Alternative Asset Allocation Policies

Journal of Financial Markets, 19, 62-85
Number of pages: 47 Posted: 13 Sep 2009 Last Revised: 10 Jul 2014
Heiko Jacobs, Sebastian Müller and Martin Weber
University of Mannheim, Finance Department, German Graduate School of Management and Law and University of Mannheim - Department of Banking and Finance
Downloads 2,921 (1,789)
Citation 4

Abstract:

portfolio theory, household finance, asset allocation, international diversification, heuristics

2.
Downloads 2,087 ( 4,827)

Expected Skewness and Momentum

Number of pages: 40 Posted: 29 Apr 2015 Last Revised: 03 Aug 2016
Heiko Jacobs, Tobias Regele and Martin Weber
University of Mannheim, Finance Department, Allianz SE - Allianz Global Investors Europe and University of Mannheim - Department of Banking and Finance
Downloads 2,087 (4,723)

Abstract:

Momentum, skewness, market efficiency, return predictability, behavioral finance

Expected Skewness and Momentum

CEPR Discussion Paper No. DP10601
Number of pages: 64 Posted: 19 May 2015
Heiko Jacobs, Tobias Regele and Martin Weber
University of Mannheim, Finance Department, Allianz SE - Allianz Global Investors Europe and University of Mannheim - Department of Banking and Finance
Downloads 0

Abstract:

behavioral finance, market efficiency, momentum, return predictability, skewness

3.

Media Makes Momentum

Review of Financial Studies, Forthcoming
Number of pages: 83 Posted: 16 Mar 2012 Last Revised: 01 Apr 2015
University of Mannheim - Department of International Finance, University of Mannheim, Finance Department and German Graduate School of Management and Law
Downloads 629 (20,819)
Citation 1

Abstract:

Momentum, media, overreaction, attention effects, investor biases

4.

On the Determinants of Pairs Trading Profitability

Journal of Financial Markets, Forthcoming
Number of pages: 44 Posted: 06 Jan 2015
Heiko Jacobs and Martin Weber
University of Mannheim, Finance Department and University of Mannheim - Department of Banking and Finance
Downloads 508 (20,779)

Abstract:

Pairs trading, relative-value arbitrage, return predictability, international stock markets, limited attention, limits to arbitrage

5.

Losing Sight of the Trees for the Forest? Attention Allocation and Anomalies

Quantitative Finance, Forthcoming
Number of pages: 36 Posted: 18 Mar 2012 Last Revised: 20 Jun 2016
Heiko Jacobs and Martin Weber
University of Mannheim, Finance Department and University of Mannheim - Department of Banking and Finance
Downloads 494 (43,436)

Abstract:

Behavioral finance, return predictability, limited attention, attention allocation, anomalies

6.

The Trading Volume Impact of Local Bias: Evidence from a Natural Experiment

Review of Finance, 16, 867-901.
Number of pages: 49 Posted: 27 Dec 2009 Last Revised: 11 Jun 2013
Heiko Jacobs and Martin Weber
University of Mannheim, Finance Department and University of Mannheim - Department of Banking and Finance
Downloads 414 (49,783)
Citation 5

Abstract:

Local bias, trading activity, investor recognition, investor distraction, holiday effect, natural experiment

7.

What Explains the Dynamics of 100 Anomalies?

Journal of Banking and Finance, Volume 57, Pages 65–85,
Number of pages: 55 Posted: 15 Feb 2015 Last Revised: 08 Nov 2015
Heiko Jacobs
University of Mannheim, Finance Department
Downloads 315 (35,105)

Abstract:

anomalies, limits to arbitrage, sentiment, return predictability, behavioral finance

8.

Alphabetic Bias, Investor Recognition, and Trading Behavior

Review of Finance, 2016, 20, 693-723
Number of pages: 49 Posted: 04 Feb 2014 Last Revised: 20 Jun 2016
Heiko Jacobs and Alexander Hillert
University of Mannheim, Finance Department and University of Mannheim - Department of International Finance
Downloads 221 (52,210)

Abstract:

trading behavior, behavioral finance, name effects, limited attention, ordering effects

9.

...And Nothing Else Matters? On the Dimensionality and Predictability of International Stock Returns

Number of pages: 86 Posted: 03 Oct 2016 Last Revised: 23 Oct 2016
Heiko Jacobs and Sebastian Müller
University of Mannheim, Finance Department and German Graduate School of Management and Law
Downloads 0 (170,324)

Abstract:

Anomalies, international stock markets, multidimensionality, market efficiency, return predictability

10.

Anomalies Across the Globe: Once Public, No Longer Existent?

Number of pages: 55 Posted: 02 Aug 2016 Last Revised: 24 Jan 2017
Heiko Jacobs and Sebastian Müller
University of Mannheim, Finance Department and German Graduate School of Management and Law
Downloads 0 (30,077)

Abstract:

return predictability, international stock markets, arbitrage, publication impact, anomalies, trading strategies, market segmentation

11.

Market Maturity and Mispricing

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 48 Posted: 20 Jun 2016
Heiko Jacobs
University of Mannheim, Finance Department
Downloads 0 (167,393)

Abstract:

anomalies, return predictability, behavioral finance, international stock markets, emerging markets

12.

Beta and Biased Beliefs

Number of pages: 44 Posted: 20 Jun 2016
Heiko Jacobs
University of Mannheim, Finance Department
Downloads 0 (150,955)

Abstract:

International stock markets, beta anomaly, risk/return trade-off, investor biases, behavioral finance