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

9,815

SSRN CITATIONS

348

CROSSREF CITATIONS

190

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 1,219 (28,907)
Citation 12

Abstract:

Loading...

stock volatility, leverage effect, corporate debt, general equilibrium

2.
Downloads 1,112 (32,965)
Citation 12

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 Reichman University - Arison School of Business
Downloads 1,044 (35,476)
Citation 13

Abstract:

Loading...

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: 03 Feb 2023
University of Pennsylvania - The Wharton School, Carnegie Mellon University - David A. Tepper School of Business, Imperial College London - Accounting, Finance, and Macroeconomics and Reichman University - Arison School of Business
Downloads 68 (556,705)
Citation 1

Abstract:

Loading...

3.
Downloads 798 (52,313)
Citation 9

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 759 (55,146)
Citation 14

Abstract:

Loading...

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

Liquidity Supply and Demand in Limit Order Markets

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 (720,411)
  • Add to Cart

Abstract:

Loading...

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

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 797 (51,697)
Citation 51

Abstract:

Loading...

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:

Loading...

D51, G11, G12, G14

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 731 (58,872)
Citation 15

Abstract:

Loading...

Liquidity, Demand Discovery, Asset Pricing, Asymmetric Information

What Broker Charges Reveal About Subprime Mortgage Credit Risk

Number of pages: 46 Posted: 22 Mar 2010 Last Revised: 09 Jun 2020
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University, College of Business and Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 470 (101,355)
Citation 7

Abstract:

Loading...

Mortgage brokers, Loan performance, Subprime crisis

The Role of Mortgage Brokers in the Subprime Crisis

NBER Working Paper No. w16175
Number of pages: 67 Posted: 12 Jul 2010 Last Revised: 13 Mar 2023
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University, College of Business and Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 92 (464,154)

Abstract:

Loading...

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, College of Business and Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 80 (506,594)
Citation 1

Abstract:

Loading...

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

7.

Asset Prices and Portfolios with Externalities

Review of Finance 26(6): 1433–1468, 2022
Number of pages: 57 Posted: 25 Mar 2019 Last Revised: 22 Nov 2022
Steven D. Baker, Burton Hollifield and Emilio Osambela
Federal Reserve Banks - Federal Reserve Bank of Richmond, Carnegie Mellon University - David A. Tepper School of Business and Board of Governors of the Federal Reserve System
Downloads 510 (92,783)
Citation 9

Abstract:

Loading...

ESG, Externality, Hedging, Portfolio Theory, Socially responsible investment

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 487 (98,148)
Citation 19

Abstract:

Loading...

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

9.

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 441 (110,335)
Citation 10

Abstract:

Loading...

10.
Downloads 384 (129,544)
Citation 10

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 Schuerhoff
IE Business School, IE University, Carnegie Mellon University - David A. Tepper School of Business, Board of Governors of the Federal Reserve System and Swiss Finance Institute - HEC Lausanne
Downloads 383 (128,928)
Citation 6

Abstract:

Loading...

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 Schuerhoff
IE Business School, IE University, Carnegie Mellon University - David A. Tepper School of Business, Board of Governors of the Federal Reserve System and Swiss Finance Institute - HEC Lausanne
Downloads 1 (1,062,640)
Citation 5
  • Add to Cart

Abstract:

Loading...

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 Schuerhoff
IE Business School, IE University, Carnegie Mellon University - David A. Tepper School of Business, Board of Governors of the Federal Reserve System and Swiss Finance Institute - HEC Lausanne

Abstract:

Loading...

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 Schuerhoff
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business and Swiss Finance Institute - HEC Lausanne
Downloads 353 (141,240)
Citation 100

Abstract:

Loading...

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 Schuerhoff
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business and Swiss Finance Institute - HEC Lausanne

Abstract:

Loading...

12.

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 319 (158,511)
Citation 2

Abstract:

Loading...

vector autoregression, priors, initial conditions, nonlinear functions

13.

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
Federal Reserve Banks - Federal Reserve Bank of Richmond, Carnegie Mellon University - David A. Tepper School of Business and Board of Governors of the Federal Reserve System
Downloads 293 (173,369)
Citation 18

Abstract:

Loading...

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

14.

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 Schuerhoff
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business and Swiss Finance Institute - HEC Lausanne
Downloads 263 (193,554)
Citation 31

Abstract:

Loading...

market microstructure, municipal bonds, trading, price dispersion

Distorted Risk Incentives from Size Threshold-Based Regulations

Mays Business School Research Paper No. 3084239
Number of pages: 70 Posted: 11 Dec 2017 Last Revised: 04 Aug 2022
Carnegie Mellon University - David A. Tepper School of Business, Texas A&M University - Mays Business School - Finance Department, Texas A&M University - Department of Finance and Purdue University
Downloads 165 (297,704)

Abstract:

Loading...

Regulation, Risk incentives, Size thresholds, Size contingent regulation, Dodd-Frank

Distorted Risk Incentives from Size Threshold-Based Regulations

Number of pages: 82 Posted: 03 Feb 2019 Last Revised: 26 Apr 2022
Carnegie Mellon University - David A. Tepper School of Business, Texas A&M University - Mays Business School - Finance Department, Texas A&M University - Department of Finance and Purdue University
Downloads 81 (502,789)

Abstract:

Loading...

Risk incentives, Regulation, Size thresholds, Size contingent regulation, Dodd-Frank, Regulatory distortion, risk taking

16.

Should State Governments Prohibit the Negotiated Sales of Municipal Bonds?

Number of pages: 53 Posted: 06 Aug 2020 Last Revised: 12 Nov 2020
IE Business School, IE University, affiliation not provided to SSRN, Carnegie Mellon University - David A. Tepper School of Business and Swiss Finance Institute - HEC Lausanne
Downloads 232 (218,858)
Citation 3

Abstract:

Loading...

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

17.

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 216 (234,142)
Citation 19

Abstract:

Loading...

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

18.
Downloads 209 (241,349)
Citation 31

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 190 (262,873)
Citation 3

Abstract:

Loading...

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

Estimating the Gains from Trade in Limit Order Markets

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 (888,248)
Citation 23
  • Add to Cart

Abstract:

Loading...

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

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, College of Business and Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 118 (389,163)

Abstract:

Loading...

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, College of Business and Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 38 (727,683)
Citation 1

Abstract:

Loading...

Mortgage broker compensation, Borrower Valuation, Borrower Informedness

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

Abstract:

Loading...

Mortgage broker compensation, Borrower valuation, Borrower informedness

20.

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 123 (375,768)

Abstract:

Loading...

Cross-market Arbitrage, Information Efficiency, High Frequency Trading

21.
Downloads 122 (378,066)

Preventing Controversial Catastrophes

Review of Asset Pricing Studies 10(1): 1–60, 2020
Number of pages: 89 Posted: 19 Aug 2016 Last Revised: 06 May 2021
Steven D. Baker, Burton Hollifield and Emilio Osambela
Federal Reserve Banks - Federal Reserve Bank of Richmond, Carnegie Mellon University - David A. Tepper School of Business and Board of Governors of the Federal Reserve System
Downloads 96 (451,150)

Abstract:

Loading...

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

Preventing Controversial Catastrophes

FEDS Working Paper No. 2018-52
Number of pages: 90 Posted: 23 Jul 2018 Last Revised: 21 Feb 2019
Steven D. Baker, Burton Hollifield and Emilio Osambela
Federal Reserve Banks - Federal Reserve Bank of Richmond, Carnegie Mellon University - David A. Tepper School of Business and Board of Governors of the Federal Reserve System
Downloads 26 (822,900)

Abstract:

Loading...

22.

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 2022
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 66 (557,581)
Citation 11

Abstract:

Loading...

23.

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

NBER Working Paper No. w11276
Number of pages: 33 Posted: 01 Jun 2005 Last Revised: 26 Oct 2022
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 66 (557,581)
Citation 8

Abstract:

Loading...

24.

Empirical Analysis of Limit Order Markets

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 (766,787)
Citation 6
  • Add to Cart

Abstract:

Loading...

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

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

Abstract:

Loading...

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

Abstract:

Loading...

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, Univeristy of British Columbia and Carnegie Mellon University - David A. Tepper School of Business

Abstract:

Loading...