Contact Information
343E Wohlers Hall
1206 South Sixth Street
Champaign IL 61820

(217) 333-4089
tcj@illinois.edu

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Timothy C Johnson

Professor of Finance and Robert and Karen May Faculty Fellow

Education

Ph.D. Finance, University of Chicago, 1999.
MBA International Business, Columbia University, 1985.
M.S. Operations Research, Columbia University, 1985.
B.S. Mathematics, Massachusetts Institute of Technology, 1983.

Research Interests

Research

Journal Articles

"On the Systemantic Volatility of Unpriced Earnings" T. Johnson, J. Lee, Journal of Financial Economics, 2013.


"Inequality Risk Premia" T. Johnson, Journal of Monetary Economics, (59) 6 565-580 2012.


"Market Liquidity and Flow-Driven Risk" P. Deuskar, T. Johnson, Review of Financial Studies, [WorkingPaper.pdf] (24) 3 721-753 2011.
SSRN Abstract


"Endogenous Leverage and Expected Stock Returns" T. Johnson, T. Chebonenko, I. Cunha, F. D'Almeida, X. Spencer, Finance Research Letters, (8) 3 132-145 2011.
SSRN Abstract


"More Insiders, More Insider Trading: Evidence from Private Equity Buyouts" T. Johnson, V. Acharya, Journal of Financial Economics, (98) 2010.


"Liquid Capital and Market Liquidity" T. Johnson, Economic Journal, [WorkingPaper.pdf] (119) 540 2009.


"Volume, Liquidity, and Liquidity Risk" T. Johnson, Journal of Financial Economics, (87) 2 2008.


"Insider Trading in Credit Derivatives" T. Johnson, V. Acharya, Journal of Financial Economics, (84) April, 1 110-141 2007.


"Optimal Learning and New Technology Bubbles" T. Johnson, Journal of Monetary Economics, (54) November, 8 2486-2511 2007.


"Dynamic Liquidity in Endowment Economies" T. Johnson, Journal of Financial Economics, (80) June, 3 531-562 2006.


"Unifying Underreaction Anomalies" T. Johnson, A. Jackson, Journal of Business, 2006.


"Forecast Dispersion and the Cross-Section of Expected Returns" T. Johnson, Journal of Finance, 2004.


"Rational Momentum Effects" T. Johnson, Journal of Finance, 2002.


"Volatility, Momentum and Time-Varying Skewness in Foreign Exchange Returns" T. Johnson, Journal of Business and Economic Statistics, 2002.


"Return Dynamics when Persistence is Unobservable" T. Johnson, Mathematical Finance, 2001.

Working Papers

"What Drives Index Option Exposure?" T. Johnson, M. Liang, Y. Liu, 2013.


"Real Options and Risk Dynamics" D. Hackbarth, T. Johnson, 2012.
SSRN Abstract


"Systematic Volatility of Unpriced Earnings Shocks" T. Johnson, J. Lee, 2012.


"Commodity Dependence and Aggregate Risk" T. Johnson, 2010.

Honors and Awards


Excellence in Graduate Teaching Award , University of Illinois College of Business Alumni Association , 2012


Ross Award for Best Paper, "Endogenous Leverage and Expected Stock Returns" , Finance Research Letters , 2012


Smith-Breeden Award -- nominated paper , American Finance Association , 2004


Smith-Breeden Award -- Distinguished Paper , American Finance Association , 2002


 


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