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

13

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4,390

SSRN CITATIONS
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SSRN RANKINGS

Top 11,296

in Total Papers Citations

61

CROSSREF CITATIONS

39

Scholarly Papers (13)

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 1,233 (17,717)
Citation 20

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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 (755,688)
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realised volatility, forecasting, investor behaviour, limited attention, noise trader, search engine data

2.

Dissecting Short-Sale Performance: Evidence from Large Position Disclosures

Number of pages: 69 Posted: 17 Jul 2015 Last Revised: 24 Sep 2020
Stephan Jank and Esad Smajlbegovic
Deutsche Bundesbank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 669 (43,058)
Citation 8

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

3.
Downloads 622 ( 47,415)
Citation 2

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 Universität Tübingen and Deutsche Bundesbank
Downloads 414 (78,063)
Citation 2

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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 Universität Tübingen and Deutsche Bundesbank
Downloads 208 (163,127)
Citation 1

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

4.
Downloads 481 ( 65,662)
Citation 7

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 316 (106,519)
Citation 9

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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 165 (201,215)

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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

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 71 Posted: 10 Jul 2016 Last Revised: 01 Nov 2019
Deutsche Bundesbank, Deutsche Bundesbank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 276 (123,038)
Citation 9

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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 175 (191,189)

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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 277 (123,214)
Citation 2

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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 200 (169,368)
Citation 2

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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 15 (634,035)

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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 125 (252,457)
Citation 3

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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 20 (597,499)

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Mutual funds, fund family, flow-performance relationship

9.

Betting on Disaster: Short-Selling Activity during the COVID-19 Pandemic

Number of pages: 45 Posted: 23 Jul 2020
University of Mannheim - Finance Area, Deutsche Bundesbank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 140 (230,274)

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COVID-19 pandemic, short selling, fiscal capacity, institutional investors

10.

Specialized Human Capital, Unemployment Risk, and the Value Premium

Number of pages: 38 Posted: 18 Nov 2014
Stephan Jank
Deutsche Bundesbank
Downloads 87 (321,963)
Citation 2

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value premium, specialized human capital, unemployment risk

11.

Securities Lending and Information Acquisition

Number of pages: 38 Posted: 01 Jul 2020
University of Mannheim - Finance Area, Deutsche Bundesbank, University of Cambridge - Judge Business School and Queen Mary University of London
Downloads 49 (433,846)

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Equity lending markets, mutual funds, short sales, short interest, price revelation, public disclosure

12.

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 20 (578,052)

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Mutual Funds, Flow-Performance Relationship, Clientele

13.

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