Burton Hollifield

Carnegie Mellon University - David A. Tepper School of Business

PNC Professor of Financial Economics

5000 Forbes Avenue

Pittsburgh, PA 15213-3890

United States

SCHOLARLY PAPERS

27

DOWNLOADS

7,524

SSRN CITATIONS

143

CROSSREF CITATIONS

175

Scholarly Papers (27)

1.

Financial Leverage Does Not Cause the Leverage Effect

AFA 2007 Chicago Meetings Paper
Number of pages: 45 Posted: 14 Mar 2006
Abdullah C. Aydemir, Michael F. Gallmeyer and Burton Hollifield
Lehman Brothers, University of Virginia (UVA) - McIntire School of Commerce and Carnegie Mellon University - David A. Tepper School of Business
Downloads 1,061 (20,491)
Citation 11

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stock volatility, leverage effect, corporate debt, general equilibrium

2.
Downloads 970 ( 23,393)
Citation 10

Time-Varying Predictability in Mutual Fund Returns

Number of pages: 43 Posted: 21 Mar 2009 Last Revised: 14 Jan 2012
University of Pennsylvania - The Wharton School, Carnegie Mellon University - David A. Tepper School of Business, Imperial College London - Accounting, Finance, and Macroeconomics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 922 (24,773)
Citation 11

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Mutual Funds, Flows, Investor Rationality, Market Conditions

Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry

NBER Working Paper No. w15038
Number of pages: 52 Posted: 08 Jun 2009 Last Revised: 05 Aug 2010
University of Pennsylvania - The Wharton School, Carnegie Mellon University - David A. Tepper School of Business, Imperial College London - Accounting, Finance, and Macroeconomics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 48 (413,878)

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An Examination of Heterogeneous Beliefs With a Short-Sale Constraint in a Dynamic Economy

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 41 Posted: 22 Mar 2002
Michael F. Gallmeyer and Burton Hollifield
University of Virginia (UVA) - McIntire School of Commerce and Carnegie Mellon University - David A. Tepper School of Business
Downloads 771 (31,886)
Citation 36

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heterogeneous beliefs, learning, short-sale constraints, general equilibrium, stock price, stock volatility

An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy

Review of Finance, Vol. 12, Issue 2, pp. 323-364, 2008
Posted: 14 Jul 2008
Michael F. Gallmeyer and Burton Hollifield
University of Virginia (UVA) - McIntire School of Commerce and Carnegie Mellon University - David A. Tepper School of Business

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D51, G11, G12, G14

4.
Downloads 709 ( 36,318)
Citation 8

Liquidity Supply and Demand in Limit Order Markets

Number of pages: 53 Posted: 27 Jan 2003
Burton Hollifield, Robert A. Miller, Patrik Sandas and Joshua Slive
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business, University of Virginia and Bank of Canada
Downloads 670 (38,582)
Citation 11

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liquidity, limit orders, market orders, high frequency data, discrete choice

Liquidity Supply and Demand in Limit Order Markets

CEPR Discussion Paper No. 3676
Number of pages: 55 Posted: 17 Jan 2003
Burton Hollifield, Patrik Sandas, Robert A. Miller and Joshua Slive
Carnegie Mellon University - David A. Tepper School of Business, University of Virginia, Carnegie Mellon University - David A. Tepper School of Business and Bank of Canada
Downloads 39 (450,712)
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Liquidity, limit orders, market orders, high frequency data, discrete choice

5.

Demand Discovery and Asset Pricing

AFA 2005 Philadelphia Meetings
Number of pages: 63 Posted: 08 Jun 2004
Michael F. Gallmeyer, Duane J. Seppi and Burton Hollifield
University of Virginia (UVA) - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 686 (37,960)
Citation 14

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Liquidity, Demand Discovery, Asset Pricing, Asymmetric Information

What Broker Charges Reveal About Mortgage Credit Risk

AFA 2011 Denver Meetings Paper
Number of pages: 61 Posted: 22 Mar 2010 Last Revised: 26 Sep 2014
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 413 (71,732)
Citation 7

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Mortgage brokers, Loan performance, Subprime crisis, Credit risk retention, Qualified residential mortgages

The Role of Mortgage Brokers in the Subprime Crisis

NBER Working Paper No. w16175
Number of pages: 67 Posted: 12 Jul 2010 Last Revised: 09 Nov 2013
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 49 (410,216)

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What Broker Charges Reveal about Mortgage Credit Risk

Sveriges Riksbank Working Paper Series No. 336, Riksbank Research Paper Series No. 160
Number of pages: 63 Posted: 07 Mar 2017
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 39 (450,712)

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Mortgage Brokers, Loan Performance, Subprime Crisis, Credit Risk Retention, Qualied Residential Mortgages

7.

The Personal-Tax Advantages of Equity

Number of pages: 42 Posted: 15 Sep 1999
Richard C. Green and Burton Hollifield
Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 417 (71,572)
Citation 6

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8.

Bid-Ask Spreads, Trading Networks and the Pricing of Securitizations

Review of Financial Studies, Forthcoming.
Number of pages: 64 Posted: 09 Sep 2014 Last Revised: 13 Jan 2017
Burton Hollifield, Artem Neklyudov and Chester S. Spatt
Carnegie Mellon University - David A. Tepper School of Business, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Carnegie Mellon University - David A. Tepper School of Business
Downloads 376 (80,674)
Citation 11

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Securitization; sophisticated investors; Rule 144A; network analysis; price discovery; OTC markets; bid-ask spreads; core dealers; peripheral dealers

9.

A Bayesian Analysis of a Variance Decomposition for Stock Returns

Sauder School of Business Working Paper
Number of pages: 26 Posted: 19 Nov 2002
Burton Hollifield, Kai Li and Gary Koop
Carnegie Mellon University - David A. Tepper School of Business, University of British Columbia (UBC) - Sauder School of Business and University of Leicester - Department of Economics
Downloads 303 (102,841)
Citation 1

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vector autoregression, priors, initial conditions, nonlinear functions

Financial Intermediation and the Costs of Trading in an Opaque Market

FAME Research Paper No. 130
Number of pages: 47 Posted: 28 Feb 2005
Richard C. Green, Burton Hollifield and Norman Schürhoff
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business and University of Lausanne
Downloads 293 (106,121)
Citation 37

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Municipal Bonds, Fixed Income Dealer, Transaction Costs, Liquidity, Transparency, Market Power

Financial Intermediation and the Costs of Trading in an Opaque Market

The Review of Financial Studies, Vol. 20, Issue 2, pp. 275-314, 2007
Posted: 17 Jul 2008
Richard C. Green, Burton Hollifield and Norman Schürhoff
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business and University of Lausanne

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11.

Disagreement, Speculation, and Aggregate Investment

Journal of Financial Economics 119(1): 210–225, 2016
Number of pages: 41 Posted: 02 Nov 2013 Last Revised: 18 Aug 2016
Steven D. Baker, Burton Hollifield and Emilio Osambela
University of Virginia - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business and Board of Governors of the Federal Reserve System
Downloads 247 (127,668)
Citation 10

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speculation, aggregate investment, heterogeneous beliefs, disasters, recursive preferences

12.

Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues

EFA 2006 Zurich Meetings Paper
Number of pages: 54 Posted: 17 Jun 2006
Richard C. Green, Burton Hollifield and Norman Schürhoff
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business and University of Lausanne
Downloads 218 (144,336)
Citation 18

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market microstructure, municipal bonds, trading, price dispersion

13.
Downloads 189 (164,813)
Citation 20

Estimating the Gains from Trade in Limit Order Markets

Rodney L. White Center for Financial Research Working Paper No. 20-04
Number of pages: 50 Posted: 11 Sep 2004
Burton Hollifield, Robert A. Miller, Patrik Sandas and Joshua Slive
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business, University of Virginia and Bank of Canada
Downloads 170 (181,219)

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Limit Order Markets, Gains from Trade, Discrete Choice, Allocative Efficiency

Estimating the Gains from Trade in Limit Order Markets

CEPR Discussion Paper No. 4432
Number of pages: 50 Posted: 09 Jul 2004
Burton Hollifield, Robert A. Miller, Patrik Sandas and Joshua Slive
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business, University of Virginia and Bank of Canada
Downloads 19 (562,583)
Citation 20
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Limit order markets, gains from trade, discrete choice, allocative efficiency

14.

Term Premium Dynamics and the Taylor Rule

EFA 2009 Bergen Meetings Paper
Number of pages: 38 Posted: 17 Feb 2009
University of Virginia (UVA) - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business, University of Michigan, Stephen M. Ross School of Business and New York University (NYU)
Downloads 186 (167,242)
Citation 15

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Affine term structure, general equilibrium, time-varying term premiums, monetary policy

15.
Downloads 163 (187,741)
Citation 2

Municipal Bond Markets

Swiss Finance Institute Research Paper No. 18-69
Number of pages: 41 Posted: 31 Oct 2018 Last Revised: 12 Nov 2018
Dario Cestau, Burton Hollifield, Dan Li and Norman Schürhoff
IE Business School, IE University, Carnegie Mellon University - David A. Tepper School of Business, Federal Reserve Board and University of Lausanne
Downloads 163 (187,925)
Citation 1

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municipal bonds, muni-bond puzzle, over-the-counter markets, trading cost, centrality premium, electroni cation, green bonds

Municipal Bond Markets

CEPR Discussion Paper No. DP13301
Number of pages: 42 Posted: 12 Nov 2018
Dario Cestau, Burton Hollifield, Dan Li and Norman Schürhoff
IE Business School, IE University, Carnegie Mellon University - David A. Tepper School of Business, Federal Reserve Board and University of Lausanne
Downloads 0
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centrality premium, electronification, green bonds, muni-bond puzzle, Municipal Bonds, Over-the-counter markets, trading cost

Municipal Bond Markets

Annual Review of Financial Economics, Vol. 11, pp. 65-84, 2019
Posted: 12 Jan 2020
Dario Cestau, Burton Hollifield, Dan Li and Norman Schürhoff
IE Business School, IE University, Carnegie Mellon University - David A. Tepper School of Business, Federal Reserve Board and University of Lausanne

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How Subprime Borrowers and Mortgage Brokers Shared the Pie

Number of pages: 74 Posted: 15 Oct 2013 Last Revised: 30 Jul 2014
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 86 (303,258)

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Mortgage broker compensation; Borrower valuation; Borrower informedness

How Subprime Borrowers and Mortgage Brokers Shared the Pie

Riksbank Research Paper Series No. 117, Sveriges Riksbank Working Paper Series No. 286
Number of pages: 76 Posted: 13 Feb 2015
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 24 (529,771)

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Mortgage broker compensation, Borrower Valuation, Borrower Informedness

How Subprime Borrowers and Mortgage Brokers Shared the Pie

Real Estate Economics, Vol. 44, Issue 1, pp. 87-154, 2016
Number of pages: 68 Posted: 20 Jan 2016
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 0
Citation 1
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How Subprime Borrowers and Mortgage Brokers Shared the Pie

Real Estate Economics, Forthcoming
Posted: 28 Sep 2014
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia

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Mortgage broker compensation, Borrower valuation, Borrower informedness

Preventing Controversial Catastrophes

Review of Asset Pricing Studies, Forthcoming
Number of pages: 89 Posted: 19 Aug 2016 Last Revised: 04 Oct 2018
Steven D. Baker, Burton Hollifield and Emilio Osambela
University of Virginia - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business and Board of Governors of the Federal Reserve System
Downloads 72 (337,470)

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Crowding out, Disagreement, Disaster Risk, Government policy, Wllingness to Pay

Preventing Controversial Catastrophes

FEDS Working Paper No. 2018-052
Number of pages: 90 Posted: 23 Jul 2018 Last Revised: 21 Feb 2019
Steven D. Baker, Burton Hollifield and Emilio Osambela
University of Virginia - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business and Board of Governors of the Federal Reserve System
Downloads 17 (576,154)

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Crowding out, Disagreement, Disaster risk, Government policy, Willingness to pay

18.

Latency Arbitrage When Markets Become Faster

Riksbank Research Paper Series No. 162, Sveriges Riksbank Working Paper Series No. 338
Number of pages: 32 Posted: 26 Jan 2018
Burton Hollifield, Patrik Sandås and Andrew Todd
Carnegie Mellon University - David A. Tepper School of Business, University of Virginia and University of Virginia
Downloads 62 (361,398)

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Cross-market Arbitrage, Information Efficiency, High Frequency Trading

19.

Taylor Rules, Mccallum Rules and the Term Structure of Interest Rates

NBER Working Paper No. w11276
Number of pages: 33 Posted: 01 Jun 2005
Michael F. Gallmeyer, Burton Hollifield and Stanley E. Zin
University of Virginia (UVA) - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University
Downloads 47 (410,141)
Citation 3

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20.

Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models

NBER Working Paper No. w13245
Number of pages: 38 Posted: 09 Jul 2007 Last Revised: 11 Sep 2010
University of Virginia (UVA) - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business, affiliation not provided to SSRN and Carnegie Mellon University
Downloads 40 (436,990)
Citation 3

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21.

Asset Prices and Portfolios with Externalities

Number of pages: 48 Posted: 25 Mar 2019
Steven D. Baker, Burton Hollifield and Emilio Osambela
University of Virginia - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business and Board of Governors of the Federal Reserve System
Downloads 38 (445,316)
Citation 3

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22.

Empirical Analysis of Limit Order Markets

CEPR Discussion Paper No. 2843
Number of pages: 67 Posted: 19 Jun 2001
Burton Hollifield, Robert A. Miller and Patrik Sandas
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 30 (481,385)
Citation 2
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Electronic trading systems, limit order markets, semiparametric estimation, auctions

23.

Corporate Decisions, Information and Prices: Do Managers Move Prices or Do Prices Move Managers?

Economic Notes, Vol. 33, No. 1, pp. 83-110, February 2004
Number of pages: 28 Posted: 03 Jul 2004
Kai Li, Ron Giammarino, Robert L. Heinkel and Burton Hollifield
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Division of Finance and Carnegie Mellon University - David A. Tepper School of Business
Downloads 14 (574,027)
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24.

Should State Governments Prohibit the Negotiated Sales of Municipal Bonds?

Number of pages: 56 Posted: 10 Jan 2020
IE Business School, IE University, affiliation not provided to SSRN, Carnegie Mellon University - David A. Tepper School of Business and University of Lausanne
Downloads 4 (640,497)

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Primary market, state laws, book building, auctions, municipal bonds

25.

A Test of Uncovered Interest Rate Parity in Segmented International Commodity Markets

Posted: 31 Dec 1998
Burton Hollifield and Raman Uppal
Carnegie Mellon University - David A. Tepper School of Business and EDHEC Business School

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26.

Investment and Insider Trading

REVIEW OF FINANCIAL STUDIES, Vol 8 No 2
Posted: 20 Dec 1998
Dan Bernhardt, Burton Hollifield and Eric N. Hughson
University of Illinois at Urbana-Champaign - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and Claremont McKenna College - Robert Day School of Economics and Finance

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27.

Defensive Mechanisms and Managerial Discretion

J. OF FINANCE, Vol. 52 No. 4, September 1997
Posted: 07 Jul 1997
Ron Giammarino, Robert L. Heinkel and Burton Hollifield
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Division of Finance and Carnegie Mellon University - David A. Tepper School of Business

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