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
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10,605

CITATIONS
Rank 16,687

SSRN RANKINGS

Top 16,687

in Total Papers Citations

42

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 3,507 (2,740)
Citation 12

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 2,201 (6,062)

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 1,100 (18,629)
Citation 2

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 833 (27,941)

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 678 (36,460)
Citation 3

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

Forthcoming, Review of Financial Studies
Number of pages: 61 Posted: 09 Nov 2016 Last Revised: 07 Aug 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 670 (37,601)
Citation 1

Abstract:

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Returns, Anomalies, Expectations Management, Seasonalities, Announcement Premia

7.
Downloads 597 ( 43,851)
Citation 2

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 480 (57,285)
Citation 2

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 117 (237,060)

Abstract:

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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 558 (47,899)
Citation 1

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 250 (121,359)

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 134 (212,832)

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 77 (310,133)
Citation 1

Abstract:

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