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

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8,792

CITATIONS
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SSRN RANKINGS

Top 18,525

in Total Papers Citations

17

Scholarly Papers (8)

1.

Risk Premia and the VIX Term Structure

Journal of Financial and Quantitative Analysis 52 (2017), 2461-2490
Number of pages: 50 Posted: 11 Jan 2015 Last Revised: 17 Oct 2018
Travis L. Johnson
University of Texas at Austin - Department of Finance
Downloads 3,227 (2,929)
Citation 3

Abstract:

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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 1,959 (6,813)

Abstract:

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Anomaly, returns, earnings announcements, strategic reporting, timing

3.

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 1,001 (19,816)
Citation 14

Abstract:

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Options, Volume, Microstructure, Short Sale Costs

4.

A Simple Multimarket Measure of Information Asymmetry

Management Science 64 (2018), 1055-1080
Number of pages: 52 Posted: 27 Nov 2012 Last Revised: 17 Oct 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
Downloads 784 (28,313)

Abstract:

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

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

Journal of Accounting Research, Vol. 56, No. 1, 2018
Number of pages: 57 Posted: 02 Apr 2014 Last Revised: 17 Oct 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
Downloads 647 (36,133)

Abstract:

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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:

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

6.
Downloads 553 ( 45,042)

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 448 (58,110)

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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 105 (240,788)

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Corporate Governance, Hedge Funds, Investor Activism, Reputation

7.

A Fresh Look at Return Predictability Using a More Efficient Estimator

Review of Asset Pricing Studies, Forthcoming
Number of pages: 59 Posted: 07 Feb 2015 Last Revised: 11 Oct 2018
Travis L. Johnson
University of Texas at Austin - Department of Finance
Downloads 466 (56,400)

Abstract:

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

8.

Distortions Caused by Asset Managers Retaining Securities Lending Income

Number of pages: 55 Posted: 06 Dec 2017 Last Revised: 07 Oct 2018
Travis L. Johnson and Gregory Weitzner
University of Texas at Austin - Department of Finance and University of Texas at Austin - Department of Finance
Downloads 155 (177,293)

Abstract:

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