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

  • Carnegie Mellon University - David A. Tepper School of Business

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SCHOLARLY PAPERS

27

DOWNLOADS

11,035

TOTAL CITATIONS

443

Scholarly Papers (27)

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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 1,299 (33,798)
Citation 12

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stock volatility, leverage effect, corporate debt, general equilibrium

2.

Time-Varying Predictability in Mutual Fund Returns

Downloads 1,180 (38,873)
Citation 15

Time-Varying Predictability in Mutual Fund Returns

Number of pages: 43 Posted: 21 Mar 2009 Last Revised: 14 Jan 2012
Vincent Glode, Burton Hollifield, Marcin T. Kacperczyk and Shimon Kogan
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 1,101 (42,374)
Citation 14

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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: 03 Feb 2023
Vincent Glode, Burton Hollifield, Marcin T. Kacperczyk and Shimon Kogan
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 79 (669,161)
Citation 1

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3.

Liquidity Supply and Demand in Limit Order Markets

Downloads 819 (64,850)
Citation 14

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 776 (68,533)
Citation 14

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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 43 (915,329)
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Liquidity, limit orders, market orders, high frequency data, discrete choice

4.

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

Downloads 817 (65,043)
Citation 57

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 817 (64,022)
Citation 57

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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

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 784 (68,664)
Citation 15

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Liquidity, Demand Discovery, Asset Pricing, Asymmetric Information

6.

What Broker Charges Reveal About Subprime Mortgage Credit Risk

Downloads 778 (69,363)
Citation 7

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 553 (106,087)
Citation 6

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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 116 (514,470)

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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, College of Business and Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 109 (539,678)
Citation 1

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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 662 (85,515)
Citation 9

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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 551 (107,934)
Citation 19

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

9.

Municipal Bond Markets

Downloads 531 (113,084)
Citation 17

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 464 (131,589)
Citation 8

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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 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 67 (734,795)
Citation 9
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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 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

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10.

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 466 (132,439)
Citation 10

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11.

Financial Intermediation and the Costs of Trading in an Opaque Market

Downloads 420 (149,756)
Citation 115

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 420 (148,166)
Citation 115

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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 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

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12.

Should State Governments Prohibit the Negotiated Sales of Municipal Bonds?

Number of pages: 53 Posted: 06 Aug 2020 Last Revised: 12 Nov 2020
Dario Cestau, Richard C. Green, Burton Hollifield and Norman Schuerhoff
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 348 (184,733)
Citation 4

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

13.

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 336 (191,853)
Citation 2

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vector autoregression, priors, initial conditions, nonlinear functions

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
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 317 (204,184)
Citation 18

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

15.

Distorted Risk Incentives from Size Threshold-Based Regulations

Downloads 314 (206,313)

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
Burton Hollifield, Philipp K. Illeditsch, Shane A. Johnson and Yan Liu
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 192 (335,310)

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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
Burton Hollifield, Philipp K. Illeditsch, Shane A. Johnson and Yan Liu
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 122 (494,597)

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

16.

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 288 (226,197)
Citation 31

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market microstructure, municipal bonds, trading, price dispersion

17.

Term Premium Dynamics and the Taylor Rule

EFA 2009 Bergen Meetings Paper
Number of pages: 38 Posted: 17 Feb 2009
Michael F. Gallmeyer, Burton Hollifield, Francisco Palomino and Stanley E. Zin
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 244 (267,741)
Citation 18

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

18.

Estimating the Gains from Trade in Limit Order Markets

Downloads 226 (288,504)
Citation 26

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 206 (313,772)
Citation 3

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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 20 (1,180,180)
Citation 23
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Limit order markets, gains from trade, discrete choice, allocative efficiency

19.

How Subprime Borrowers and Mortgage Brokers Shared the Pie

Downloads 184 (349,857)
Citation 1

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 132 (464,066)

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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, College of Business and Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 52 (838,004)
Citation 1

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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

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Mortgage broker compensation, Borrower valuation, Borrower informedness

20.

Preventing Controversial Catastrophes

Downloads 144 (431,337)
Citation 23

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 110 (536,019)

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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 34 (1,006,139)
Citation 23

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21.

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 139 (443,758)

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Cross-market Arbitrage, Information Efficiency, High Frequency Trading

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
Michael F. Gallmeyer, Burton Hollifield, Francisco Palomino and Stanley E. Zin
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 76 (673,997)
Citation 13

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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 74 (683,969)
Citation 11

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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 38 (939,572)
Citation 6
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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

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

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