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

8,193

SSRN CITATIONS

239

CROSSREF CITATIONS

189

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 1,111 (23,732)
Citation 12

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stock volatility, leverage effect, corporate debt, general equilibrium

2.
Downloads 1,015 ( 27,049)
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 IDC Herzliya - Arison School of Business
Downloads 961 (28,822)
Citation 15

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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: 14 Jun 2021
University of Pennsylvania - The Wharton School, Carnegie Mellon University - David A. Tepper School of Business, Imperial College London - Accounting, Finance, and Macroeconomics and IDC Herzliya - Arison School of Business
Downloads 54 (460,078)
Citation 1

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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 785 (38,219)
Citation 44

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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 745 ( 41,612)
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 706 (44,116)
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 39 (527,444)
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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 696 (45,612)
Citation 15

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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 (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 427 (83,367)
Citation 7

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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: 14 Mar 2021
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 60 (437,151)

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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 48 (484,923)
Citation 1

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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 421 (85,523)
Citation 10

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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 411 (87,932)
Citation 19

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

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 308 (120,749)
Citation 65

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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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10.

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 306 (122,355)
Citation 1

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vector autoregression, priors, initial conditions, nonlinear functions

11.
Downloads 272 (138,424)
Citation 9

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, Board of Governors of the Federal Reserve System and University of Lausanne
Downloads 271 (138,246)
Citation 9

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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, Board of Governors of the Federal Reserve System and University of Lausanne
Downloads 1 (812,712)
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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, Board of Governors of the Federal Reserve System and University of Lausanne

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12.

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 262 (143,841)
Citation 18

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

13.

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 232 (161,936)
Citation 31

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market microstructure, municipal bonds, trading, price dispersion

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 198 (188,077)
Citation 16

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

15.
Downloads 192 (193,312)
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 173 (211,862)
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 19 (655,919)
Citation 23
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Limit order markets, gains from trade, discrete choice, allocative efficiency

16.

Asset Prices and Portfolios with Externalities

Number of pages: 61 Posted: 25 Mar 2019 Last Revised: 04 May 2020
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 187 (197,942)
Citation 9

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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 93 (339,562)

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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 25 (611,267)

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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 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
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 79 (375,901)

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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
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 (671,371)

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19.

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 84 (358,872)

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Cross-market Arbitrage, Information Efficiency, High Frequency Trading

20.

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 University of Lausanne
Downloads 82 (364,092)
Citation 1

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

21.

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: 25 Apr 2021
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 51 (464,336)
Citation 4

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22.

Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models

NBER Working Paper No. w13245
Number of pages: 38 Posted: 09 Jul 2007 Last Revised: 12 Mar 2021
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 42 (502,344)
Citation 6

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23.

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 (562,932)
Citation 6
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Electronic trading systems, limit order markets, semiparametric estimation, auctions

24.

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

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 (670,220)
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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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