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

15

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5,062

SSRN CITATIONS
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Top 9,496

in Total Papers Citations

87

CROSSREF CITATIONS

45

Scholarly Papers (15)

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, Stephan Jank and Stephan Jank
University of Hohenheim and Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR)
Downloads 1,298 (21,624)
Citation 23

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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, Stephan Jank and Stephan Jank
University of Hohenheim and Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR)
Downloads 4 (884,565)

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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: 67 Posted: 17 Jul 2015 Last Revised: 30 Jul 2021
Stephan Jank, Stephan Jank and Esad Smajlbegovic
Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 857 (39,998)
Citation 13

Abstract:

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

3.
Downloads 663 ( 56,145)
Citation 3

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, Stephan Jank and Stephan Jank
University of Tuebingen and Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR)
Downloads 444 (91,434)
Citation 1

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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, Stephan Jank and Stephan Jank
University of Tuebingen and Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR)
Downloads 219 (194,025)
Citation 2

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

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
Stephan Jank, Stephan Jank, Christoph Roling and Esad Smajlbegovic
Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR), Deutsche Bundesbank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 343 (122,852)
Citation 14

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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
Stephan Jank, Stephan Jank, Christoph Roling and Esad Smajlbegovic
Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR), Deutsche Bundesbank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 277 (153,874)

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short selling, transparency, investor behavior, stock market efficiency

5.
Downloads 575 ( 67,303)
Citation 9

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, Stephan Jank and Esad Smajlbegovic
Deutsche Bundesbank, Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 384 (108,219)
Citation 12

Abstract:

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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, Stephan Jank and Esad Smajlbegovic
Deutsche Bundesbank, Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 191 (220,059)

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

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 and Stephan Jank
Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR)
Downloads 281 (152,338)
Citation 3

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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, Stephan Jank and Michael Wedow
Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR) and European Central Bank (ECB) - Directorate Financial Stability and Supervision
Downloads 209 (202,682)
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, Stephan Jank and Michael Wedow
Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR) and European Central Bank (ECB) - Directorate Financial Stability and Supervision
Downloads 24 (690,227)

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

8.

Securities Lending and Information Acquisition

Number of pages: 38 Posted: 01 Jul 2020
Stefan Greppmair, Stephan Jank, Stephan Jank, Pedro A. C. Saffi and Jason Sturgess
Deutsche Bundesbank, Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR), University of Cambridge - Judge Business School and Queen Mary University of London
Downloads 183 (228,436)
Citation 2

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

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, Stephan Jank and Michael Wedow
Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR) and European Central Bank (ECB) - Directorate Financial Stability and Supervision
Downloads 136 (292,450)
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, Stephan Jank and Michael Wedow
Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR) and European Central Bank (ECB) - Directorate Financial Stability and Supervision
Downloads 28 (659,604)

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Mutual funds, fund family, flow-performance relationship

10.

Specialized Human Capital, Unemployment Risk, and the Value Premium

Number of pages: 38 Posted: 18 Nov 2014
Stephan Jank and Stephan Jank
Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR)
Downloads 96 (371,494)
Citation 2

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value premium, specialized human capital, unemployment risk

On the Importance of Fiscal Space: Evidence from Short Sellers During the Covid-19 Pandemic

Deutsche Bundesbank Discussion Paper No. 29/2021
Number of pages: 1 Posted: 23 Sep 2021
Stefan Greppmair, Stephan Jank, Stephan Jank and Esad Smajlbegovic
Deutsche Bundesbank, Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 32 (631,976)

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

On the Importance of Fiscal Space: Evidence from Short Sellers during the COVID-19 Pandemic

Posted: 23 Jul 2020 Last Revised: 26 Apr 2022
Stefan Greppmair, Stephan Jank, Stephan Jank and Esad Smajlbegovic
Deutsche Bundesbank, Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 0 (101,926)
Citation 1

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

12.

Securities Lender of Last Resort: On the Causal Effects of Central Banks' Securities Lending Facilities

Number of pages: 40 Posted: 13 Jul 2022
Stefan Greppmair, Stephan Jank and Stephan Jank
Deutsche Bundesbank and Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR)
Downloads 30 (628,901)

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securities lending facilities, repo, central banks, monetary policy, liquidity

13.

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 and Stephan Jank
Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR)
Downloads 26 (655,658)

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Mutual Funds, Flow-Performance Relationship, Clientele

14.

Safe Asset Shortage and Collateral Reuse

CEPR Discussion Paper No. DP16439
Number of pages: 47 Posted: 22 Sep 2021
Stephan Jank, Stephan Jank, Emanuel Moench and Michael Schneider
Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR), Frankfurt School of Finance and Management and Deutsche Bundesbank
Downloads 0 (905,643)
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collateral reuse, Government bonds, rehypothecation, repo market, safe assets, Securities lending

15.

Mutual Fund Flows, Expected Returns, and the Real Economy

Posted: 05 Dec 2010 Last Revised: 11 Jun 2014
Stephan Jank and Stephan Jank
Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR)

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