Burton Hollifield

Carnegie Mellon University - David A. Tepper School of Business

Associate Professor of Financial Economics

5000 Forbes Avenue

Pittsburgh, PA 15213-3890

United States

SCHOLARLY PAPERS

23

DOWNLOADS
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Top 5,179

in Total Papers Downloads

6,650

CITATIONS
Rank 1,910

SSRN RANKINGS

Top 1,910

in Total Papers Citations

293

Scholarly Papers (23)

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 945 (16,613)
Citation 3

Abstract:

stock volatility, leverage effect, corporate debt, general equilibrium

2.
Downloads 917 ( 19,340)
Citation 9

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 Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship
Downloads 875 (20,347)
Citation 9

Abstract:

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
University of Pennsylvania - The Wharton School, Carnegie Mellon University - David A. Tepper School of Business, Imperial College London - Accounting, Finance, and Macroeconomics and Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship
Downloads 42 (355,880)
Citation 9

Abstract:

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 741 (25,895)
Citation 21

Abstract:

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

Abstract:

D51, G11, G12, G14

4.
Downloads 676 ( 29,967)
Citation 12

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 637 (31,943)
Citation 12

Abstract:

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 (366,566)
Citation 12

Abstract:

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 624 (30,600)
Citation 12

Abstract:

Liquidity, Demand Discovery, Asset Pricing, Asymmetric Information

6.
Downloads 449 ( 51,008)
Citation 11

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, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 398 (58,498)
Citation 10

Abstract:

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
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 34 (385,844)
Citation 11

Abstract:

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, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 17 (473,786)
Citation 10

Abstract:

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 388 (58,572)
Citation 32

Abstract:

8.

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 284 (84,434)
Citation 2

Abstract:

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 275 (89,747)
Citation 45

Abstract:

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

Abstract:

10.
Downloads 184 (134,890)
Citation 22

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 165 (148,764)
Citation 22

Abstract:

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 (462,239)
Citation 22

Abstract:

Limit order markets, gains from trade, discrete choice, allocative efficiency

11.

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 169 (139,002)
Citation 23

Abstract:

market microstructure, municipal bonds, trading, price dispersion

12.

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 160 (144,851)
Citation 8

Abstract:

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

13.

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, HEC Lausanne and SFI and Carnegie Mellon University - David A. Tepper School of Business
Downloads 115 (112,223)

Abstract:

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

14.

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 115 (122,481)

Abstract:

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

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, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 73 (270,870)

Abstract:

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, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 17 (473,786)

Abstract:

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, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 0

Abstract:

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, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia

Abstract:

Mortgage broker compensation, Borrower valuation, Borrower informedness

16.

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 37 (345,993)
Citation 30

Abstract:

17.

Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models

NBER Working Paper No. w13245
Number of pages: 38 Posted: 09 Jul 2007
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 30 (366,177)
Citation 17

Abstract:

18.

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 (393,028)
Citation 38

Abstract:

Electronic trading systems, limit order markets, semiparametric estimation, auctions

19.

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 (472,321)
Citation 7

Abstract:

20.

Preventing Controversial Catastrophes

Number of pages: 44 Posted: 19 Aug 2016 Last Revised: 19 Apr 2017
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 0 (333,635)

Abstract:

Wllingness to Pay, Speculation, Disagreement, Disasters, Recursive Preferences

21.

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

Abstract:

22.

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

Abstract:

23.

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

Abstract: