Travis L. Johnson

The University of Texas at Austin

Assistant Professor of Finance

2110 Speedway Stop B6600

Austin, TX Texas 78712

United States

http://travislakejohnson.com

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 3,639

SSRN RANKINGS

Top 3,639

in Total Papers Downloads

11,185

SSRN CITATIONS
Rank 13,074

SSRN RANKINGS

Top 13,074

in Total Papers Citations

57

CROSSREF CITATIONS

20

Scholarly Papers (11)

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
The University of Texas at Austin
Downloads 3,838 (2,638)
Citation 20

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
The University of Texas at Austin and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,380 (5,914)
Citation 4

Abstract:

Loading...

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: 05 May 2020
Travis L. Johnson and Eric C. So
The University of Texas at Austin and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,162 (18,762)
Citation 30

Abstract:

Loading...

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
The University of Texas at Austin and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 876 (28,355)
Citation 4

Abstract:

Loading...

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

5.

Expectations Management and Stock Returns

Forthcoming, Review of Financial Studies
Number of pages: 61 Posted: 09 Nov 2016 Last Revised: 11 Oct 2019
Travis L. Johnson, Jinhwan Kim and Eric C. So
The University of Texas at Austin, Stanford Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 874 (28,704)
Citation 3

Abstract:

Loading...

Returns, Anomalies, Expectations Management, Seasonalities, Announcement Premia

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
The University of Texas at Austin and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 697 (38,250)
Citation 11

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
The University of Texas at Austin 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

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
The University of Texas at Austin
Downloads 579 (49,706)
Citation 3

Abstract:

Loading...

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

8.

Distortions Caused by Lending Fee Retention

Number of pages: 52 Posted: 06 Dec 2017 Last Revised: 18 Nov 2019
Travis L. Johnson and Gregory Weitzner
The University of Texas at Austin and University of Texas at Austin - Department of Finance
Downloads 298 (109,228)

Abstract:

Loading...

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

9.

On the Economic Significance of Stock Return Predictability

Number of pages: 80 Posted: 10 May 2019 Last Revised: 30 Dec 2019
Scott Cederburg, Travis L. Johnson and Michael S. O'Doherty
University of Arizona - Department of Finance, The University of Texas at Austin and University of Missouri at Columbia - Department of Finance
Downloads 186 (174,653)

Abstract:

Loading...

Market return predictability, Bayesian investors, Stochastic volatility, Multiperiod horizons

10.

Reputation and Investor Activism: A Structural Approach

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 66 Posted: 18 Mar 2019 Last Revised: 26 Dec 2019
Travis L. Johnson and Nathan Swem
The University of Texas at Austin and Board of Governors of the Federal Reserve System
Downloads 169 (189,097)
Citation 1

Abstract:

Loading...

reputation, investor activism, governance, hedge funds, proxy fights, dynamic, structural estimation

11.

Reputation and Investor Activism

FEDS Working Paper No. 2017-036
Number of pages: 57 Posted: 07 Apr 2017
Travis L. Johnson and Nathan Swem
The University of Texas at Austin and Board of Governors of the Federal Reserve System
Downloads 126 (240,108)

Abstract:

Loading...

Corporate Governance, Hedge Funds, Investor Activism, Reputation