I have read that longer jumper wires can cause lost of data. But is it too long 400 mm (15 inches)?
Shortest answer, without more info, it'll 'probably' work. The variables are whether it's analog or digital. You said data which implies digital, but digital signals have analog aspects when wires gets too long. at that point it's a matter of how fast and sensitive the data signal is. However, 15" is usually not too long for a 'garden variety' digital signal.
If you have any problem the first easy fix is to twist the signal wire with another wire, and attach ONE end of that shield wire to -ground- at the SOURCE DEVICE end of the wire.
PS: Is it possible to connect 3 jumper wires - 150 mm each (M/M - F/F - M/M) or it's not going to work?
Sure, with the caveat that it's (much-much) easier to fall apart. It might also induce more noise and be unstable/unreliable, but you'll find that out after you try it. If noise, it's also open to the wrapped-shield trick.