Details about Burton Hollifield

Access statistics for papers by Burton Hollifield.

Last updated 2009-11-05. Update your information in the RePEc Author Service.

Short-id: pho211

Working Papers

2009

1. Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry
   NBER Working Papers, National Bureau of Economic Research, Inc

2007

2. Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See also Journal Article in Review (2007)

2006

3. Financial Leverage Does Not Cause the Leverage Effect
   2006 Meeting Papers, Society for Economic Dynamics

2005

4. Financial Intermediation and the Costs of Trading in an Opaque Market
   FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations
   Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
5. Taylor Rules, McCallum Rules and the Term Structure of Interest Rates
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations
   See also Journal Article in Journal of Monetary Economics (2005)

2004

6. Estimating the Gains From Trade in Limit Order Markets
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article in Journal of Finance (2006)
7. Liquidity Discovery and Asset Pricing
   Econometric Society 2004 North American Summer Meetings, Econometric Society View citations
   Also in 2004 Meeting Papers, Society for Economic Dynamics (2004) View citations
   GSIA Working Papers, Carnegie Mellon University, Tepper School of Business

2002

8. Liquidity Supply and Demand in Limit Order Markets
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

2001

9. Empirical Analysis of Limit Order Markets
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations
   See also Journal Article in Review of Economic Studies (2004)
10. The Foreign Exchange Risk Premium: Real and Nominal Factors
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business (1999) View citations
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations

2000

11. The Personal Tax Advantage of Equity
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations
    See also Journal Article in Journal of Financial Economics (2003)

1993

12. Investment and Insider Trading
    Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences
    See also Journal Article in Review of Financial Studies (1995)

1990

13. WHEN WILL MEAN-VARIANCE EFFICIENT PORTFOLIOS BE WELL DIVERSIFIED?
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
    See also Journal Article in Journal of Finance (1992)

Undated

14. An Empirical Analysis of Limit Order Markets
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations
15. An Examination of Heterogeneous Beliefs with a Short Sale Constraint
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations
16. Corporate Decisions, Information, and Prices: Do Managers Move Prices or Do Prices Move Managers?
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
17. Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
    See also Journal Article in Journal of Financial Economics (2007)
18. Defining bad news: Changes in return distribution that decrease risky asset demand
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
19. Financial leverage and the leverage effect: A market and firm analysis
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
20. Liquidity Supply and Demand: Empirical Evidence from the Vancouver Stock Exchange
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations
21. Throwing Good Money After Bad
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
22. When are Mutual Fund Investors Smart? Evidence from Conditional Fund Flows
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business

Journal Articles

2008

1. An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy
   Review of Finance, 2008, 12, (2), 323-364 View citations

2007

2. Arbitrage-free bond pricing with dynamic macroeconomic models
   Review, 2007, (Jul), 305-326 View citations
   See also Working Paper (2007)
3. Dealer intermediation and price behavior in the aftermarket for new bond issues
   Journal of Financial Economics, 2007, 86, (3), 643-682 View citations
   See also Working Paper

2006

4. Estimating the Gains from Trade in Limit-Order Markets
   Journal of Finance, 2006, 61, (6), 2753-2804 View citations
   See also Working Paper (2004)

2005

5. Taylor rules, McCallum rules and the term structure of interest rates
   Journal of Monetary Economics, 2005, 52, (5), 921-950 View citations
   See also Working Paper (2005)

2004

6. Corporate Decisions, Information and Prices: Do Managers Move Prices or Do Prices Move Managers&quest
   Economic Notes, 2004, 33, (1), 83-110
7. Empirical Analysis of Limit Order Markets
   Review of Economic Studies, 2004, 71, (4), 1027-1063 View citations
   See also Working Paper (2001)

2003

8. A Bayesian analysis of a variance decomposition for stock returns
   Journal of Empirical Finance, 2003, 10, (5), 583-601
9. The personal-tax advantages of equity
   Journal of Financial Economics, 2003, 67, (2), 175-216 View citations
   See also Working Paper (2000)

2002

10. Comment on:: Stock volatility in the new millennium: how wacky is Nasdaq?
    Journal of Monetary Economics, 2002, 49, (1), 27-30

1997

11. An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
    Journal of Finance, 1997, 52, (5), 2145-70 View citations
12. Defensive Mechanisms and Managerial Discretion
    Journal of Finance, 1997, 52, (4), 1467-93 View citations

1995

13. Investment and Insider Trading
    Review of Financial Studies, 1995, 8, (2), 501-43 View citations
    See also Working Paper (1993)

1994

14. Corporate Financing Decisions and Anonymous Trading
    Journal of Financial and Quantitative Analysis, 1994, 29, (03), 351-377 View citations

1992

15. When Will Mean-Variance Efficient Portfolios Be Well Diversified?
    Journal of Finance, 1992, 47, (5), 1785-809 View citations
    See also Working Paper (1990)