Timothy C Johnson

20012018
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Momentum Mathematics
Volatility Mathematics
Persistence Mathematics
Time-varying Mathematics
Imply Mathematics
Skewness Mathematics
Anomaly Mathematics
Equity Mathematics

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Research Output 2001 2018

Inflexibility and stock returns

Gu, L., Hackbarth, D. & Johnson, T. C., Jan 1 2018, In : Review of Financial Studies. 31, 1, p. 278-321 44 p.

Research output: Contribution to journalReview article

Stock returns
Operating leverage
Neoclassical model
Expected returns
Firm risk

What drives index options exposures?

Johnson, T. C., Liang, M. & Liu, Y., Mar 1 2018, In : Review of Finance. 22, 2, p. 561-593 33 p.

Research output: Contribution to journalArticle

Index options
Risk aversion
Derivatives
Factors
Price changes

Rethinking reversals

Johnson, T. C., May 1 2016, In : Journal of Financial Economics. 120, 2, p. 211-228 18 p.

Research output: Contribution to journalArticle

Reversal
Autocorrelation
Investors
Complete markets
Tournament

Real Options and Risk Dynamics

Hackbarth, D. & Johnson, T., Oct 1 2015, In : Review of Economic Studies. 82, 4, p. 1449-1482 34 p.

Research output: Contribution to journalArticle

Operating leverage
Real options
Profitability
Equity risk
Leverage effect

On the systematic volatility of unpriced earnings

Johnson, T. C. & Lee, J., Jan 1 2014, In : Journal of Financial Economics. 114, 1, p. 84-104 21 p.

Research output: Contribution to journalArticle

Stock volatility
Equity risk premium
Debt valuation
Equity prices
Market portfolio