Details about Burton Hollifield

Access statistics for papers by Burton Hollifield.

Last updated 2014-10-31. Update your information in the RePEc Author Service.

Short-id: pho211

Working Papers

2018

1. Preventing Controversial Catastrophes
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2014

2. How Subprime Borrowers and Mortgage Brokers Shared the Pie
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)

2010

3. The Role of Mortgage Brokers in the Subprime Crisis
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)

2009

4. Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)

2007

5. Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (36)
   See also Journal Article in Review (2007)

2006

6. Financial Leverage Does Not Cause the Leverage Effect
   2006 Meeting Papers, Society for Economic Dynamics View citations (12)

2005

7. 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 (36)
   Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (1)
8. Taylor Rules, McCallum Rules and the Term Structure of Interest Rates
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (55)
   Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (62)
   See also Journal Article in Journal of Monetary Economics (2005)

2004

9. 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)
10. Liquidity Discovery and Asset Pricing
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (4)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
    2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (4)

2002

11. Liquidity Supply and Demand in Limit Order Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (20)

2001

12. Empirical Analysis of Limit Order Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (1)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (11)
    See also Journal Article in Review of Economic Studies (2004)
13. The Foreign Exchange Risk Premium: Real and Nominal Factors
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (22)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (8)
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business (1999) View citations (5)

2000

14. 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 (5)
    See also Journal Article in Journal of Financial Economics (2003)

1993

15. 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

16. WHEN WILL MEAN-VARIANCE EFFICIENT PORTFOLIOS BE WELL DIVERSIFIED?
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (1)
    See also Journal Article in Journal of Finance (1992)

Undated

17. An Examination of Heterogeneous Beliefs with a Short Sale Constraint
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (16)
18. Corporate Decisions, Information, and Prices: Do Managers Move Prices or Do Prices Move Managers?
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
19. 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)
20. Defining bad news: Changes in return distribution that decrease risky asset demand
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
21. Financial leverage and the leverage effect: A market and firm analysis
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (1)
22. Liquidity Supply and Demand: Empirical Evidence from the Vancouver Stock Exchange
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (7)
23. Throwing Good Money After Bad
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
24. What Broker Charges Reveal about Mortgage Credit Risk previously entitled "The Role of Mortgage Brokers in the Subprime Crisis"
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
25. 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 (55)

2007

2. Arbitrage-free bond pricing with dynamic macroeconomic models
   Review, 2007, 89, (Jul), 305-326 View citations (45)
   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 (64)
   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 (63)
   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 (58)
   See also Working Paper (2005)

2004

6. Empirical Analysis of Limit Order Markets
   Review of Economic Studies, 2004, 71, (4), 1027-1063 View citations (80)
   See also Working Paper (2001)

2003

7. A Bayesian analysis of a variance decomposition for stock returns
   Journal of Empirical Finance, 2003, 10, (5), 583-601 View citations (8)
8. The personal-tax advantages of equity
   Journal of Financial Economics, 2003, 67, (2), 175-216 View citations (30)
   See also Working Paper (2000)

2002

9. Comment on:: Stock volatility in the new millennium: how wacky is Nasdaq?
   Journal of Monetary Economics, 2002, 49, (1), 27-30 View citations (4)

1997

10. An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
    Journal of Finance, 1997, 52, (5), 2145-70 View citations (32)
11. Defensive Mechanisms and Managerial Discretion
    Journal of Finance, 1997, 52, (4), 1467-93 View citations (6)

1995

12. Investment and Insider Trading
    Review of Financial Studies, 1995, 8, (2), 501-43 View citations (17)
    See also Working Paper (1993)

1994

13. Corporate Financing Decisions and Anonymous Trading
    Journal of Financial and Quantitative Analysis, 1994, 29, (3), 351-377 View citations (5)

1992

14. When Will Mean-Variance Efficient Portfolios Be Well Diversified?
    Journal of Finance, 1992, 47, (5), 1785-809 View citations (134)
    See also Working Paper (1990)