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

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10,277

CITATIONS
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SSRN RANKINGS

Top 18,576

in Total Papers Citations

17

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 3,452 (2,753)
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
The University of Texas at Austin and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,135 (6,239)

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
The University of Texas at Austin and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,071 (19,001)
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
The University of Texas at Austin and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 824 (27,870)

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
The University of Texas at Austin and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 671 (36,320)

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
The University of Texas at Austin 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.

Expectations Management and Stock Returns

Number of pages: 56 Posted: 09 Nov 2016 Last Revised: 18 Apr 2019
Travis L. Johnson, Jinhwan Kim and Eric C. So
The University of Texas at Austin, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 642 (39,071)

Abstract:

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Returns, Anomalies, Expectations Management, Seasonalities, Announcement Premia

7.
Downloads 592 ( 43,549)

Reputation and Investor Activism

Number of pages: 52 Posted: 12 Sep 2015 Last Revised: 17 Apr 2018
Travis L. Johnson and Nathan Swem
The University of Texas at Austin and Board of Governors of the Federal Reserve System
Downloads 476 (56,903)

Abstract:

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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
The University of Texas at Austin and Board of Governors of the Federal Reserve System
Downloads 116 (234,866)

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Corporate Governance, Hedge Funds, Investor Activism, Reputation

8.

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 542 (48,727)

Abstract:

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

9.

Distortions Caused by Lending Fee Retention

Number of pages: 52 Posted: 06 Dec 2017 Last Revised: 21 Mar 2019
Travis L. Johnson and Gregory Weitzner
The University of Texas at Austin and University of Texas at Austin - Department of Finance
Downloads 229 (130,438)

Abstract:

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

10.

On the Economic Value of Stock Market Return Predictors

Number of pages: 54 Posted: 10 May 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 67 (329,776)

Abstract:

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

11.

Reputation and Investor Activism: A Structural Approach

Number of pages: 59 Posted: 18 Mar 2019
Travis L. Johnson and Nathan Swem
The University of Texas at Austin and Board of Governors of the Federal Reserve System
Downloads 52 (373,187)

Abstract:

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