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

13

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in Total Papers Downloads

13,808

SSRN CITATIONS
Rank 11,490

SSRN RANKINGS

Top 11,490

in Total Papers Citations

85

CROSSREF CITATIONS

21

Scholarly Papers (13)

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 4,503 (2,657)
Citation 28

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 2,789 (6,000)
Citation 6

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: 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 1,406 (17,890)
Citation 32

Abstract:

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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 1,186 (23,097)
Citation 5

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Returns, Anomalies, Expectations Management, Seasonalities, Announcement Premia

5.

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 939 (32,254)
Citation 8

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 749 (43,439)
Citation 15

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

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 617 (56,894)
Citation 5

Abstract:

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

8.

Commission Savings and Execution Quality for Retail Trades

Number of pages: 16 Posted: 06 Dec 2021
S.P. Kothari, Travis L. Johnson and Eric C. So
Massachusetts Institute of Technology (MIT) - Sloan School of Management, The University of Texas at Austin and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 488 (76,399)

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9.

Distortions Caused by Lending Fee Retention

Number of pages: 54 Posted: 06 Dec 2017 Last Revised: 05 Jan 2021
Travis L. Johnson and Gregory Weitzner
The University of Texas at Austin and McGill University
Downloads 408 (94,162)

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

10.

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 277 (143,902)

Abstract:

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

11.

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 238 (167,311)
Citation 4

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

12.

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 145 (259,237)

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Corporate Governance, Hedge Funds, Investor Activism, Reputation

13.

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

Number of pages: 50 Posted: 23 Nov 2021
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 63 (443,207)

Abstract:

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