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Details about Burton Hollifield

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Workplace:Tepper School of Business Administration, Carnegie Mellon University, (more information at EDIRC)

Access statistics for papers by Burton Hollifield.

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

Short-id: pho211


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Working Papers

2014

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

2010

  1. The Role of Mortgage Brokers in the Subprime Crisis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)
    See also Chapter (2010)

2009

  1. Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)

2007

  1. Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
    See also Journal Article in Review (2007)

2006

  1. Financial Leverage Does Not Cause the Leverage Effect
    2006 Meeting Papers, Society for Economic Dynamics View citations (9)

2005

  1. Financial Intermediation and the Costs of Trading in an Opaque Market
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (35)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (1)
  2. Taylor Rules, McCallum Rules and the Term Structure of Interest Rates
    2005 Meeting Papers, Society for Economic Dynamics Downloads View citations (42)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (46)

    See also Journal Article in Journal of Monetary Economics (2005)

2004

  1. Estimating the Gains From Trade in Limit Order Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in Journal of Finance (2006)
  2. Liquidity Discovery and Asset Pricing
    2004 Meeting Papers, Society for Economic Dynamics Downloads View citations (4)
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (4)
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business

2002

  1. Liquidity Supply and Demand in Limit Order Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (19)

2001

  1. Empirical Analysis of Limit Order Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research Downloads View citations (9)
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (1)

    See also Journal Article in Review of Economic Studies (2004)
  2. The Foreign Exchange Risk Premium: Real and Nominal Factors
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads View citations (15)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (8)
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business (1999) View citations (5)

2000

  1. The Personal Tax Advantage of Equity
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (5)

    See also Journal Article in Journal of Financial Economics (2003)

1993

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

1990

  1. 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

  1. An Examination of Heterogeneous Beliefs with a Short Sale Constraint
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (16)
  2. Corporate Decisions, Information, and Prices: Do Managers Move Prices or Do Prices Move Managers?
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads
  3. Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads
    See also Journal Article in Journal of Financial Economics (2007)
  4. Defining bad news: Changes in return distribution that decrease risky asset demand
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads
    See also Journal Article in Management Science (2009)
  5. Financial leverage and the leverage effect: A market and firm analysis
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (1)
  6. Liquidity Supply and Demand: Empirical Evidence from the Vancouver Stock Exchange
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (6)
  7. Throwing Good Money After Bad
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads
  8. 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 Downloads
  9. When are Mutual Fund Investors Smart? Evidence from Conditional Fund Flows
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads

Journal Articles

2009

  1. Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand
    Management Science, 2009, 55, (7), 1227-1236 Downloads View citations (3)
    See also Working Paper

2008

  1. An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy
    Review of Finance, 2008, 12, (2), 323-364 Downloads View citations (40)

2007

  1. Arbitrage-free bond pricing with dynamic macroeconomic models
    Review, 2007, 89, (Jul), 305-326 Downloads View citations (42)
    See also Working Paper (2007)
  2. Dealer intermediation and price behavior in the aftermarket for new bond issues
    Journal of Financial Economics, 2007, 86, (3), 643-682 Downloads View citations (43)
    See also Working Paper

2006

  1. Estimating the Gains from Trade in Limit‐Order Markets
    Journal of Finance, 2006, 61, (6), 2753-2804 Downloads View citations (42)
    See also Working Paper (2004)

2005

  1. Taylor rules, McCallum rules and the term structure of interest rates
    Journal of Monetary Economics, 2005, 52, (5), 921-950 Downloads View citations (47)
    See also Working Paper (2005)

2004

  1. Corporate Decisions, Information and Prices: Do Managers Move Prices or Do Prices Move Managers&quest
    Economic Notes, 2004, 33, (1), 83-110 Downloads View citations (6)
  2. Empirical Analysis of Limit Order Markets
    Review of Economic Studies, 2004, 71, (4), 1027-1063 Downloads View citations (66)
    See also Working Paper (2001)

2003

  1. A Bayesian analysis of a variance decomposition for stock returns
    Journal of Empirical Finance, 2003, 10, (5), 583-601 Downloads View citations (7)
  2. The personal-tax advantages of equity
    Journal of Financial Economics, 2003, 67, (2), 175-216 Downloads View citations (27)
    See also Working Paper (2000)

2002

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

1997

  1. An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
    Journal of Finance, 1997, 52, (5), 2145-70 Downloads View citations (28)
  2. Defensive Mechanisms and Managerial Discretion
    Journal of Finance, 1997, 52, (4), 1467-93 Downloads View citations (5)

1995

  1. Investment and Insider Trading
    Review of Financial Studies, 1995, 8, (2), 501-43 Downloads View citations (14)
    See also Working Paper (1993)

1994

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

1992

  1. When Will Mean-Variance Efficient Portfolios Be Well Diversified?
    Journal of Finance, 1992, 47, (5), 1785-809 Downloads View citations (79)
    See also Working Paper (1990)

Chapters

2010

  1. The Role of Mortgage Brokers in the Subprime Crisis
    A chapter in Market Institutions and Financial Market Risk, 2010 View citations (8)
    See also Working Paper (2010)
 
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