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

  • The University of Texas at Austin

SCHOLARLY PAPERS

14

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19,964

TOTAL CITATIONS
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SSRN RANKINGS

Top 6,211

in Total Papers Citations

161

Scholarly Papers (14)

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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 5,831 (3,057)
Citation 47

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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 3,642 (6,809)
Citation 6

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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: 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 1,966 (18,237)
Citation 32

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Options, Volume, Microstructure, Short Sale Costs

4.

Expectations Management and Stock Returns

Review of Financial Studies [33(10): 4580–4626 (October 2020)]
Number of pages: 61 Posted: 09 Nov 2016 Last Revised: 28 Dec 2020
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 1,625 (24,455)
Citation 18

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Returns, Anomalies, Expectations Management, Seasonalities, Announcement Premia

5.

Anatomy of Trading Costs for Retail Investors: Savings from Off-Exchange Execution

Number of pages: 44 Posted: 06 Dec 2021
Thomas K. Brown, Travis L. Johnson, S.P. Kothari and Eric C. So
University of Texas at Austin - McCombs School of Business, 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 1,376 (31,395)
Citation 1

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6.

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 1,085 (44,418)
Citation 19

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

7.

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

Downloads 875 (59,906)
Citation 15

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 875 (58,990)
Citation 15

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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

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

8.

Distortions Caused by Lending Fee Retention

Management Science
Number of pages: 58 Posted: 06 Dec 2017 Last Revised: 16 Jun 2023
Travis L. Johnson and Gregory Weitzner
The University of Texas at Austin and McGill University
Downloads 757 (72,933)

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

9.

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 725 (77,294)
Citation 16

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

10.

On the Economic Significance of Stock Return Predictability

Review of Finance
Number of pages: 113 Posted: 10 May 2019 Last Revised: 18 Oct 2022
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 704 (80,124)

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

11.

The Performance of Characteristic-Sorted Portfolios: Evaluating the Past and Predicting the Future

Number of pages: 57 Posted: 23 Nov 2021 Last Revised: 30 Apr 2025
Aydogan Alti, Travis L. Johnson and Sheridan Titman
University of Texas at Austin - Department of Finance, The University of Texas at Austin and University of Texas at Austin - Department of Finance
Downloads 441 (143,079)
Citation 2

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Portfolio returns, time-variation, autocorrelation, value strategies, return predictability, Bayesian, standard errors

12.

Past is Prologue: Inference from the Cross Section of Returns Around an Event

Number of pages: 54 Posted: 23 Dec 2022 Last Revised: 03 Jun 2024
Jonathan B. Cohn, Travis L. Johnson, Zack Liu and Malcolm Wardlaw
University of Texas at Austin, The University of Texas at Austin, University of Houston - Department of Finance and University of Georgia
Downloads 409 (157,423)
Citation 1

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event studies, inference, standard errors, clustering

13.

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 344 (189,225)
Citation 4

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

14.

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 184 (354,291)

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Corporate Governance, Hedge Funds, Investor Activism, Reputation