Timothy C. Johnson

Last updated
Timothy C. Johnson
Died(2023-12-31)December 31, 2023
NationalityAmerican
Education Massachusetts Institute of Technology ( BS),
Columbia University(MA,MBA)
University of Chicago (PhD)
Academic career
Institution
Field Financial economics , Asset pricing

Timothy Coit "Tim" Johnson was an American economist who served as the Karl and Louise Schewe Professor of Finance at the University of Illinois at Urbana-Champaign. [1] [2] Johnson is known for his contributions to research on financial markets, asset pricing, and more broadly, the effects of finance to the real economy. His seminal paper (Johnson, 2002) provides a rational explanation for the momentum anomaly in a representative agent model with rational expectations, which has influenced subsequent research of stock price anomalies. [3]

Contents

Johnson died suddenly on December 31, 2023. [4]

Education

Tim graduated with a bachelors of science in mathematics from Massachusetts Institute of Technology in 1983. He then attended Columbia University, graduating with an MS in operations research and an MBA in 1985. He then attended the University of Chicago where he graduated with his PhD. [1] His thesis was entitled "Unobservable persistence: an economic theory of stochastic volatility." [5]

Career

Johnson was a Director at Mabon Securities, Inc. from 1979 to 1983. Following that Tim worked as a Senior Trader at the Caxton Corporation from 1989 to 1994. [1] In 1992, he was elected fellow in perpetuity of the Metropolitan Museum of Art. [6]

After completing his PhD, Tim first placed at London Business School and was there from 1999 to 2006. He then joined the University of Illinois at Urbana-Champaign in 2006 as an Associate Professor of Finance. In 2011, he became a full Professor of Finance, and in 2016 was invested as the Karl and Louise Schewe Professor of Finance. Tim also received the Excellence in Graduate Teaching Award, University of Illinois at Urbana-Champaign in 2012 and 2023. [1]

Research

In his seminal paper (Johnson, 2002) provides a rational explanation for the momentum anomaly. [3] Johnson (2004) extends this line of research by looking at the stock price anomaly induced by analyst forecast dispersion, and builds a frictionless partial-equilibrium model to account for the key aspects in the asset market. [7] His work, particularly Johnson (2006, 2008), has provided crucial insights into the fundamental origination of market liquidity, as well as its relationship with trading volume. He shows that liquidity reflects the average risk-bearing capacity of the economy and volume reflects the changing contribution of individuals to that average, which reshapes the perception of the two important features in the financial market. [8] [9]

Additionally, his research on firm investment decisions, as in Hackbarth and Johnson (2015), investigates how a firm's real exposure to systematic risk changes as operating conditions evolve, offering insightful understandings via a tractable general equilibrium model. [10] Johnson (2022) sheds more light on the broad impact of finance on the real economy, by examining the leverage volatility relationship. [11]

Related Research Articles

<span class="mw-page-title-main">James Tobin</span> American economist (1918–2002)

James Tobin was an American economist who served on the Council of Economic Advisers and consulted with the Board of Governors of the Federal Reserve System, and taught at Harvard and Yale Universities. He contributed to the development of key ideas in the Keynesian economics of his generation and advocated government intervention in particular to stabilize output and avoid recessions. His academic work included pioneering contributions to the study of investment, monetary and fiscal policy and financial markets. He also proposed an econometric model for censored dependent variables, the well-known tobit model.

Financial economics is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on both sides of a trade". Its concern is thus the interrelation of financial variables, such as share prices, interest rates and exchange rates, as opposed to those concerning the real economy. It has two main areas of focus: asset pricing and corporate finance; the first being the perspective of providers of capital, i.e. investors, and the second of users of capital. It thus provides the theoretical underpinning for much of finance.

<span class="mw-page-title-main">Franco Modigliani</span> Italian-American economist (1918–2003)

Franco Modigliani was an Italian-American economist and the recipient of the 1985 Nobel Memorial Prize in Economics. He was a professor at University of Illinois at Urbana–Champaign, Carnegie Mellon University, and MIT Sloan School of Management.

An economic bubble is a period when current asset prices greatly exceed their intrinsic valuation, being the valuation that the underlying long-term fundamentals justify. Bubbles can be caused by overly optimistic projections about the scale and sustainability of growth, and/or by the belief that intrinsic valuation is no longer relevant when making an investment. They have appeared in most asset classes, including equities, commodities, real estate, and even esoteric assets. Bubbles usually form as a result of either excess liquidity in markets, and/or changed investor psychology. Large multi-asset bubbles, are attributed to central banking liquidity.

<span class="mw-page-title-main">Capital asset pricing model</span> Model used in finance

In finance, the capital asset pricing model (CAPM) is a model used to determine a theoretically appropriate required rate of return of an asset, to make decisions about adding assets to a well-diversified portfolio.

The equity premium puzzle refers to the inability of an important class of economic models to explain the average equity risk premium (ERP) provided by a diversified portfolio of equities over that of government bonds, which has been observed for more than 100 years. There is a significant disparity between returns produced by stocks compared to returns produced by government treasury bills. The equity premium puzzle addresses the difficulty in understanding and explaining this disparity. This disparity is calculated using the equity risk premium:

Sanford "Sandy" Jay Grossman is an American economist and hedge fund manager specializing in quantitative finance. Grossman’s research has spanned the analysis of information in securities markets, corporate structure, property rights, and optimal dynamic risk management. He has published widely in leading economic and business journals, including American Economic Review, Journal of Econometrics, Econometrica, and Journal of Finance. His research in macroeconomics, finance, and risk management has earned numerous awards. Grossman is currently Chairman and CEO of QFS Asset Management, an affiliate of which he founded in 1988. QFS Asset Management shut down its sole remaining hedge fund in January 2014.

<span class="mw-page-title-main">Lars Peter Hansen</span> American economist

Lars Peter Hansen is an American economist. He is the David Rockefeller Distinguished Service Professor in Economics, Statistics, and the Booth School of Business, at the University of Chicago and a 2013 recipient of the Nobel Memorial Prize in Economics.

The goals of experimental finance are to understand human and market behavior in settings relevant to finance. Experiments are synthetic economic environments created by researchers specifically to answer research questions. This might involve, for example, establishing different market settings and environments to observe experimentally and analyze agents' behavior and the resulting characteristics of trading flows, information diffusion and aggregation, price setting mechanism and returns processes.

<span class="mw-page-title-main">Grzegorz Kołodko</span>

Grzegorz Witold Kołodko is a distinguished professor of economics. A key architect of Polish economic reforms. He is the author of New Pragmatism original paradigmatic and heterodox theory of economics. University lecturer, researcher, the author of numerous academic books and research papers. As Deputy Premier and Minister of Finance of Poland in 2002–2003 he played a leading role in achieving the entry of Poland into the European Union. Holding the same position in 1994–1997, Kolodko led Poland into the OECD.

The following outline is provided as an overview of and topical guide to finance:

Robert (Bob) Arthur Haugen was a financial economist and a pioneer in the field of quantitative investing and low-volatility investing. He was President of Haugen Custom Financial Systems and also consulted and spoke globally.

<span class="mw-page-title-main">Markus Brunnermeier</span> German economist

Markus Konrad Brunnermeier is an economist, who is the Edwards S. Sanford Professor of Economics at Princeton University.

<span class="mw-page-title-main">Hyun-Song Shin</span> South Korean economist (born 1959)

Hyun Song Shin is a South Korean economic theorist and financial economist who focuses on global games. He has been the Economic Adviser and Head of Research of the Bank for International Settlements (BIS) since May 1, 2014.

Colm Kearney (1954–2018) was an Irish economist and academic, who was dean of the Faculty of Business and Economics at Monash University, Melbourne, Australia, until 2017, shortly before his death on 28 March 2018.

John Geanakoplos is an American economist, and the current James Tobin Professor of Economics at Yale University.

David Alan Easley is an American economist. Easley is the Henry Scarborough Professor of Social Science and is a professor of information science at Cornell University.

Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets.

Factor investing is an investment approach that involves targeting quantifiable firm characteristics or “factors” that can explain differences in stock returns. Security characteristics that may be included in a factor-based approach include size, low-volatility, value, momentum, asset growth, profitability, leverage, term and carry.

References

  1. 1 2 3 4 "Timothy C. Johnson". illinois.edu. Retrieved March 31, 2024.
  2. ↑ "Tim Johnson". illinois.edu. Retrieved May 13, 2017.
  3. 1 2 Johnson, Timothy (2002). "Rational Momentum Effects". The Journal of Finance (57): 585–608.
  4. ↑ Twitter
  5. ↑ "Unobservable persistence : an economic theory of stochastic volatility".
  6. ↑ "Members of the Corporation". Annual Report of the Trustees of the Metropolitan Museum of Art (122): 101–104. 1992. JSTOR   40304980 . Retrieved 24 January 2022.
  7. ↑ Johnson, Timothy (2004). "Forecast Dispersion and the Cross Section of Expected Return". The Journal of Finance (59): 1957–1978.
  8. ↑ Johnson, Timothy (2006). "Dynamic liquidity in endowment economies". Journal of Financial Economics (80): 531–562.
  9. ↑ Johnson, Timothy (2008). "Volume, liquidity, and liquidity risk". Journal of Financial Economics (87): 388–417.
  10. ↑ Hackbarth, D; Johnson, Timothy (2015). "Real Options and Risk Dynamics". The Review of Economic Studies (82): 1449–1482.
  11. ↑ Johnson, Timothy (2022). "Economic Uncertainty, Aggregate Debt, and the Real Effects of Corporate Finance". Critical Finance Reviews (11): 79–116.
This page is based on this Wikipedia article
Text is available under the CC BY-SA 4.0 license; additional terms may apply.
Images, videos and audio are available under their respective licenses.