Travis L. Johnson - Faculty - The University of Texas at Austin

Travis L. Johnson
Mar. 2015
CONTACT
http://faculty.mccombs.utexas.edu/johnson
travis.johnson@mccombs.utexas.edu
512-232-6824
McCombs School of Business
2110 Speedway Stop B6600
Austin, TX
78712-1276
POSITIONS
HELD
A ssistant P rofessor of Finance , July 2012 to Present
McCombs School of Business, The University of Texas at Austin
EDUCATION
Stanford G raduate School of B usiness , PhD in Finance, 2012
o Thesis title: Information in Options Markets
o Advisor: Anat Admati
M assachusetts Institute of Technology , BS in Mathematics, 2004-2007
RESEARCH
INTERESTS
Information in financial markets, derivatives, return predictability
PUBLICATION
The Option to Stock Volume Ratio and Future Returns, with Eric C. So, 2012,
Journal of Financial Economics 106, 262-286
Due to short-sale costs, firms in the lowest decile of the option to stock volume ratio
(O/S) outperform those in the highest decile by 0.34% per week (19.3% annualized).
WORKING
PAPERS
Weighted Least Squares Estimates of Return Predictability Regressions, 2015
I estimates return predictability regressions using least squares weighted by ex-ante
return variance (WLS-EV). WLS-EV estimates are more efficient, improving out-ofsample performance. The predictability offered by proxies for the variance risk
premium is not robust to the WLS-EV approach.
Risk Premia in the VIX Term Structure, 2015
A single principle component, the slope, summarizes all information about variance
risk premia in the VIX term structure. Slope predicts the excess returns of S&P 500
variance swaps, VIX futures, and S&P 500 straddles for all maturities and to the
exclusion of the rest of the term structure.
A Simple Multimarket Measure of Information Asymmetry, with Eric C. So, 2014
We develop and validate a new measure of information asymmetry among traders
based on volume imbalances between options and stock markets. Our measure is
positively correlated with spreads, price impact, and absolute order imbalances;
predicts volatility; and detects exogenous shocks to information asymmetry.
Asymmetric Trading Costs Prior to Earnings Announcements: Implications for Price
Discovery and Returns, with Eric C. So, 2015
Pre-announcement liquidity provision is asymmetric, resulting in biased information
processing and a positive drift in pre-announcement stock prices.
Travis L. Johnson
Mar. 2015
INVITED TALKS The Option to Stock Volume Ratio and Future Returns
(*co-author
2010: Western Finance Association Meetings, SAC Capital Advisors*
presented)
Risk Premia and the VIX Term Structure
2012: Boston College, Dartmouth College, Notre Dame University, Rice University,
University of California-Berkeley, University of Houston, University of Maryland,
University of Rochester, University of Pennsylvania, University of Texas at Austin,
University of Wisconsin-Madison
A Simple Multimarket Measure of Information Asymmetry
2013: Lone Star Conference, Financial Research Association Meeting
2014: The University of Texas at San Antonio, Finance Down Under Conference
Asymmetric Trading Costs Prior to Earnings Announcements: Implications for Price
Discovery and Returns
2014: Citi Quant Research Conference*, Cornell University*, London Business
School*, Nasdaq Economic Research*, The University of Texas at Austin*, Stanford
University*
2015: University of Illinois*, Western Finance Association Meetings
PROFESSIONAL  Discussant at: 2014 ITAM Conference, 2014 Lone Star Conference.
SERVICE
 Ad-hoc referee for: American Economic Journal: Applied Economics, Journal of
Empirical Finance, Journal of Finance, Journal of Financial Economics, Journal of
Financial Markets, Journal of Financial and Quantitative Analysis, Journal of
Political Economy, and Review of Financial Studies.
 Program committee for: Western Finance Association Meeting, SFS Finance
Cavalcade, Texas Finance Festival, Texas Quantitative Finance Festival, and
Financial Management Association Meeting.
 Dissertation committee for:
o Denys Maslov (2014, Moodys Analytics)
o Sergey Maslennikov (Expected in 2015, State Street)
TEACHING
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HONORS AND
AWARDS
 Stanford GSB PhD Fellowship, 2007-2012
 SAC Capital Award for Outstanding Research, 2010
 Jaedicke Family Merit Fellowship, 2007-2008
Empirical Asset Pricing (PhD), 2014
Investment Theory and Practice (MBA), 2013-2014
Investment Management: Quantitative (Undergrad), 2014
Investment Theory and Practice (MPA), 2013
Investment Management (Undergraduate), 2013