Simon Behrendt

Zeppelin University

Am Seemooser Horn 20

Friedrichshafen, Lake Constance 88045

Germany

SCHOLARLY PAPERS

8

DOWNLOADS

441

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Wikipedia Search Momentum and Stock Returns

Number of pages: 42 Posted: 02 Aug 2018
Simon Behrendt and David Zimmermann
Zeppelin University and Universität Witten/Herdecke
Downloads 131 (233,386)
Citation 1

Abstract:

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Wikipedia, stock market, investor behavior, transfer entropy

2.

How to Gauge Investor Behavior? A Comparison of Online Investor Sentiment Measures

Number of pages: 46 Posted: 12 Jul 2019 Last Revised: 04 Sep 2019
Daniele Ballinari and Simon Behrendt
University of St. Gallen and Zeppelin University
Downloads 98 (289,188)

Abstract:

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Investor Sentiment, Twitter, StockTwits, Stock Returns, Trading Volume

3.

Tax-Response Heterogeneity and the Effects of Double Taxation Treaties on the Location Choices of Multinational Firms

CESifo Working Paper Series No. 6869
Number of pages: 39 Posted: 21 Mar 2018
Simon Behrendt and Georg Wamser
Zeppelin University and University of Tuebingen
Downloads 58 (387,117)

Abstract:

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location choice, multinational firm, double taxation treaties, corporate income taxes

4.

Nonlinearity Matters: The Stock Price – Trading Volume Relation Revisited

Number of pages: 32 Posted: 14 Sep 2019 Last Revised: 17 Sep 2019
Simon Behrendt and Alexander Schmidt
Zeppelin University and University of Hohenheim
Downloads 52 (407,186)
Citation 1

Abstract:

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stock returns, trading volume, nonlinear dynamics, information transfer

5.

What Are You Searching For? On the Equivalence of Proxies for Online Investor Attention

Number of pages: 20 Posted: 25 Sep 2019
Simon Behrendt and Philipp Prange
Zeppelin University and Zeppelin University
Downloads 31 (493,447)

Abstract:

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Google, Wikipedia, online investor attention, information transfer

6.

Structural Breaks in Online Investor Sentiment: A Note on the Nonstationarity of Financial Chatter

Number of pages: 14 Posted: 02 Nov 2019
Daniele Ballinari and Simon Behrendt
University of St. Gallen and Zeppelin University
Downloads 30 (498,501)

Abstract:

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investor sentiment, structural breaks, nonstationarity, group Lasso

7.

A Note on Adaptive Group Lasso for Structural Break Time Series

Number of pages: 32 Posted: 25 Nov 2019 Last Revised: 31 Mar 2020
Simon Behrendt and Karsten Schweikert
Zeppelin University and University of Hohenheim
Downloads 28 (509,257)
Citation 2

Abstract:

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change-points, model selection, nonstationary autoregressive process, structural breaks

8.

Structural Breaks in Realized Volatility: A Cautionary Tale

Number of pages: 18 Posted: 21 Aug 2019
Simon Behrendt
Zeppelin University
Downloads 13 (601,483)

Abstract:

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realized volatility, Box-Cox transformation, structural breaks, group Lasso