Stephan Jank

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

University of Cologne - Centre for Financial Research (CFR)

Albertus-Magnus Platz

Cologne, 50923

Germany

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

Can Internet Search Queries Help to Predict Stock Market Volatility?

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper, European Financial Management, Forthcoming
Number of pages: 34 Posted: 10 Oct 2011 Last Revised: 07 Jan 2016
Thomas Dimpfl and Stephan Jank
University of Tuebingen - Department of Statistics and Econometrics and Deutsche Bundesbank
Downloads 1,201 (15,771)

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realized volatility, forecasting, investor behavior, limited attention, noise trader, search engine data

Can Internet Search Queries Help to Predict Stock Market Volatility?

European Financial Management, Vol. 22, Issue 2, pp. 171-192, 2016
Number of pages: 22 Posted: 02 Mar 2016
Thomas Dimpfl and Stephan Jank
University of Tuebingen - Department of Statistics and Econometrics and Deutsche Bundesbank
Downloads 1 (670,851)
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realised volatility, forecasting, investor behaviour, limited attention, noise trader, search engine data

2.
Downloads 594 ( 43,657)

Creative Destruction and Asset Prices

Forthcoming Journal of Financial and Quantitative Analysis
Number of pages: 54 Posted: 18 Aug 2010 Last Revised: 31 Jan 2015
Joachim Grammig and Stephan Jank
Eberhard Karls Universitaet Tübingen and Deutsche Bundesbank
Downloads 391 (72,721)

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creative destruction, asset prices, size premium, size premium, invention activity

Creative Destruction and Asset Prices

Forthcoming Journal of Financial and Quantitative Analysis
Number of pages: 54 Posted: 19 Mar 2011 Last Revised: 31 Jan 2015
Joachim Grammig and Stephan Jank
Eberhard Karls Universitaet Tübingen and Deutsche Bundesbank
Downloads 203 (147,001)

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creative destruction, asset prices, size premium, size premium, invention activity

3.

Dissecting Short-Sale Performance: Evidence from Large Position Disclosures

Number of pages: 68 Posted: 17 Jul 2015 Last Revised: 18 Aug 2017
Stephan Jank and Esad Smajlbegovic
Deutsche Bundesbank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 592 (43,858)

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Short-sale performance, Anomalies, Hedge funds, Fund attributes

4.
Downloads 424 ( 66,624)

Who Trades on Momentum?

Journal of Financial Markets, Forthcoming
Number of pages: 49 Posted: 02 Nov 2014 Last Revised: 30 Aug 2018
Markus Baltzer, Stephan Jank and Esad Smajlbegovic
Deutsche Bundesbank, Deutsche Bundesbank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 286 (103,763)

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momentum anomaly, momentum crash, investor behavior, institutional investors, individual investors

Who Trades on Momentum?

Bundesbank Discussion Paper No. 42/2014
Number of pages: 56 Posted: 21 Jun 2016
Markus Baltzer, Stephan Jank and Esad Smajlbegovic
Deutsche Bundesbank, Deutsche Bundesbank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 138 (206,214)

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momentum anomaly, momentum crash, investor behavior, institutional investors, individual investors

Flying Under the Radar: The Effects of Short-Sale Disclosure Rules on Investor Behavior and Stock Prices

Number of pages: 64 Posted: 10 Jul 2016 Last Revised: 22 May 2019
Deutsche Bundesbank, Deutsche Bundesbank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 180 (164,343)

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short selling, transparency, investor behavior, stock market efficiency

Flying Under the Radar: The Effects of Short-Sale Disclosure Rules on Investor Behavior and Stock Prices

Bundesbank Discussion Paper No. 25/2016
Number of pages: 60 Posted: 14 Jul 2016
Deutsche Bundesbank, Deutsche Bundesbank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 121 (228,730)

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short selling, transparency, investor behavior, stock market efficiency

Flying Under the Radar: The Effects of Short-Sale Disclosure Rules on Investor Behavior and Stock Prices

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 62 Posted: 25 May 2016 Last Revised: 09 Feb 2017
Deutsche Bundesbank, Deutsche Bundesbank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 78 (307,453)

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short selling, transparency, investor behavior, stock market efficiency

6.

Changes in the Composition of Publicly Traded Firms: Implications for the Dividend-Price Ratio and Return Predictability

Number of pages: 45 Posted: 17 Aug 2012 Last Revised: 11 Jun 2014
Stephan Jank
Deutsche Bundesbank
Downloads 275 (108,775)

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return predictability, dividend-price ratio, payout policy, sample selection, choice of organizational structure

Sturm und Drang in Money Market Funds: When Money Market Funds Cease to Be Narrow

Deutsche Bundesbank Discussion Paper No. 2
Number of pages: 56 Posted: 02 Feb 2009 Last Revised: 05 Feb 2009
Stephan Jank and Michael Wedow
Deutsche Bundesbank and European Central Bank (ECB) - Directorate Financial Stability and Supervision
Downloads 197 (151,148)

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Money Market Funds, Liquidity Crisis, Strategic Complementarities, Runs, Narrow Banking

Sturm Und Drang in Money Market Funds: When Money Market Funds Cease to Be Narrow

Bundesbank Series 2 Discussion Paper No. 2008,20
Number of pages: 56 Posted: 08 Jun 2016
Stephan Jank and Michael Wedow
Deutsche Bundesbank and European Central Bank (ECB) - Directorate Financial Stability and Supervision
Downloads 9 (601,694)

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Money market funds, liquidity crisis, strategic complementarities, runs, narrow banking

Purchase and Redemption Decisions of Mutual Fund Investors and the Role of Fund Families

Deutsche Bundesbank Discussion Paper No. 2
Number of pages: 29 Posted: 25 Jun 2010 Last Revised: 05 Jul 2010
Stephan Jank and Michael Wedow
Deutsche Bundesbank and European Central Bank (ECB) - Directorate Financial Stability and Supervision
Downloads 123 (225,819)

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Mutual Funds, Fund Family, Flow-Performance Relationship

Purchase and Redemption Decisions of Mutual Fund Investors and the Role of Fund Families

Bundesbank Series 2 Discussion Paper No. 2010,03
Number of pages: 44 Posted: 08 Jun 2016
Stephan Jank and Michael Wedow
Deutsche Bundesbank and European Central Bank (ECB) - Directorate Financial Stability and Supervision
Downloads 16 (555,397)

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Mutual funds, fund family, flow-performance relationship

9.

Specialized Human Capital, Unemployment Risk, and the Value Premium

Number of pages: 38 Posted: 18 Nov 2014
Stephan Jank
Deutsche Bundesbank
Downloads 85 (289,222)

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value premium, specialized human capital, unemployment risk

10.

Are There Disadvantaged Clienteles in Mutual Funds?

Bundesbank Series 2 Discussion Paper No. 2010,11
Number of pages: 60 Posted: 08 Jun 2016
Stephan Jank
Deutsche Bundesbank
Downloads 18 (523,979)

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Mutual Funds, Flow-Performance Relationship, Clientele

11.

Mutual Fund Flows, Expected Returns, and the Real Economy

Posted: 05 Dec 2010 Last Revised: 11 Jun 2014
Stephan Jank
Deutsche Bundesbank

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Aggregate Mutual Fund Flows, Equity Premium, Return Predictability, Asset Pricing