Travis L. Johnson

University of Texas at Austin - Department of Finance

Assistant Professor of Finance

Red McCombs School of Business

Austin, TX 78712

United States

http://faculty.mccombs.utexas.edu/johnson

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 4,383

SSRN RANKINGS

Top 4,383

in Total Papers Downloads

8,360

CITATIONS
Rank 18,518

SSRN RANKINGS

Top 18,518

in Total Papers Citations

17

Scholarly Papers (8)

1.

Risk Premia and the VIX Term Structure

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 50 Posted: 11 Jan 2015 Last Revised: 14 Jan 2017
Travis L. Johnson
University of Texas at Austin - Department of Finance
Downloads 1,062 (3,091)
Citation 3

Abstract:

Loading...

VIX, variance risk, term structure, expectations hypothesis, variance swaps, VIX futures, straddles

2.

Time Will Tell: Information in the Timing of Scheduled Earnings News

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 51 Posted: 18 Aug 2014 Last Revised: 01 Jul 2017
Travis L. Johnson and Eric C. So
University of Texas at Austin - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 993 (7,088)

Abstract:

Loading...

Anomaly, returns, earnings announcements, strategic reporting, timing

Asymmetric Trading Costs Prior to Earnings Announcements: Implications for Price Discovery and Returns

Journal of Accounting Research, Forthcoming
Number of pages: 57 Posted: 02 Apr 2014 Last Revised: 31 Oct 2017
Travis L. Johnson and Eric C. So
University of Texas at Austin - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 631 (36,284)

Abstract:

Loading...

Earnings announcements, announcement premia, liquidity, market making, intermediaries

Asymmetric Trading Costs Prior to Earnings Announcements: Implications for Price Discovery and Returns

Journal of Accounting Research, Vol. 56, No. 1, 2018
Posted: 05 May 2018
Travis L. Johnson and Eric C. So
University of Texas at Austin - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

Loading...

Earnings Announcements; Liquidity Provision; Transaction Costs; Announcement Returns; Risk Premia; Bad News; Asymmetric Reaction

4.

The Option to Stock Volume Ratio and Future Returns

Journal of Financial Economics (JFE), 106(2): 262-286 (November 2012)
Number of pages: 61 Posted: 25 Jul 2010 Last Revised: 07 Jun 2013
Travis L. Johnson and Eric C. So
University of Texas at Austin - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 570 (20,464)
Citation 14

Abstract:

Loading...

Options, Volume, Microstructure, Short Sale Costs

5.
Downloads 536 ( 45,590)

Reputation and Investor Activism

Number of pages: 52 Posted: 12 Sep 2015 Last Revised: 17 Apr 2018
Travis L. Johnson and Nathan Swem
University of Texas at Austin - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 438 (58,041)

Abstract:

Loading...

Reputation, investor activism, governance, hedge funds, proxy fights

Reputation and Investor Activism

FEDS Working Paper No. 2017-036
Number of pages: 57 Posted: 07 Apr 2017
Travis L. Johnson and Nathan Swem
University of Texas at Austin - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 98 (246,781)

Abstract:

Loading...

Corporate Governance, Hedge Funds, Investor Activism, Reputation

6.

A Simple Multimarket Measure of Information Asymmetry

Management Science, Forthcoming
Number of pages: 52 Posted: 27 Nov 2012 Last Revised: 20 Jul 2016
Travis L. Johnson and Eric C. So
University of Texas at Austin - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 446 (28,675)

Abstract:

Loading...

Information asymmetry, PIN, informed trade, options, microstructure, bid-ask spreads, volatility

7.

A Fresh Look at Return Predictability Using a More Efficient Estimator

Number of pages: 53 Posted: 07 Feb 2015 Last Revised: 26 Mar 2018
Travis L. Johnson
University of Texas at Austin - Department of Finance
Downloads 59 (59,959)

Abstract:

Loading...

Return predictability, weighted least squares, volatility, out-of-sample predictability, variance risk premium, presidential puzzle

8.

Distortions Caused by Institutional Securities Lending

Number of pages: 38 Posted: 06 Dec 2017
Travis L. Johnson and Gregory Weitzner
University of Texas at Austin - Department of Finance and University of Texas at Austin - Department of Finance
Downloads 0 (208,303)

Abstract:

Loading...

Share lending, short selling, mutual funds, ETFs, incentives, asset management