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 (15)

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 Arbitrage-free bond pricing with dynamic macroeconomic models, Review, Federal Reserve Bank of St. Louis (2007) View citations (45) (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 (35)
   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 Taylor rules, McCallum rules and the term structure of interest rates, Journal of Monetary Economics, Elsevier (2005) View citations (58) (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 Estimating the Gains from Trade in Limit‐Order Markets, Journal of Finance, American Finance Association (2006) View citations (66) (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 Empirical Analysis of Limit Order Markets, The Review of Economic Studies, Review of Economic Studies Ltd (2004) View citations (88) (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 The personal-tax advantages of equity, Journal of Financial Economics, Elsevier (2003) View citations (30) (2003)

1993

15. Investment and Insider Trading
    Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences
    See also Journal Article Investment and Insider Trading, The Review of Financial Studies, Society for Financial Studies (1995) View citations (18) (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 When Will Mean-Variance Efficient Portfolios Be Well Diversified?, Journal of Finance, American Finance Association (1992) View citations (142) (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 Dealer intermediation and price behavior in the aftermarket for new bond issues, Journal of Financial Economics, Elsevier (2007) View citations (73) (2007)
20. Defining bad news: Changes in return distribution that decrease risky asset demand
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
    See also Journal Article Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand, Management Science, INFORMS (2009) View citations (3) (2009)
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

2009

1. Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand
   Management Science, 2009, 55, (7), 1227-1236 View citations (3)
   See also Working Paper Defining bad news: Changes in return distribution that decrease risky asset demand, GSIA Working Papers

2008

2. An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy
   Review of Finance, 2008, 12, (2), 323-364 View citations (58)

2007

3. Arbitrage-free bond pricing with dynamic macroeconomic models
   Review, 2007, 89, (Jul), 305-326 View citations (45)
   See also Working Paper Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models, NBER Working Papers (2007) View citations (36) (2007)
4. Dealer intermediation and price behavior in the aftermarket for new bond issues
   Journal of Financial Economics, 2007, 86, (3), 643-682 View citations (73)
   See also Working Paper Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues, GSIA Working Papers

2006

5. Estimating the Gains from Trade in Limit‐Order Markets
   Journal of Finance, 2006, 61, (6), 2753-2804 View citations (66)
   See also Working Paper Estimating the Gains From Trade in Limit Order Markets, CEPR Discussion Papers (2004) (2004)

2005

6. 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 Taylor Rules, McCallum Rules and the Term Structure of Interest Rates, NBER Working Papers (2005) View citations (55) (2005)

2004

7. Empirical Analysis of Limit Order Markets
   The Review of Economic Studies, 2004, 71, (4), 1027-1063 View citations (88)
   See also Working Paper Empirical Analysis of Limit Order Markets, CEPR Discussion Papers (2001) View citations (5) (2001)

2003

8. A Bayesian analysis of a variance decomposition for stock returns
   Journal of Empirical Finance, 2003, 10, (5), 583-601 View citations (8)
9. The personal-tax advantages of equity
   Journal of Financial Economics, 2003, 67, (2), 175-216 View citations (30)
   See also Working Paper The Personal Tax Advantage of Equity, Econometric Society World Congress 2000 Contributed Papers (2000) (2000)

2002

10. 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

11. An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
    Journal of Finance, 1997, 52, (5), 2145-70 View citations (34)
12. Defensive Mechanisms and Managerial Discretion
    Journal of Finance, 1997, 52, (4), 1467-93 View citations (6)

1995

13. Investment and Insider Trading
    The Review of Financial Studies, 1995, 8, (2), 501-43 View citations (18)
    See also Working Paper Investment and Insider Trading, Working Papers (1993) (1993)

1994

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

1992

15. When Will Mean-Variance Efficient Portfolios Be Well Diversified?
    Journal of Finance, 1992, 47, (5), 1785-809 View citations (142)
    See also Working Paper WHEN WILL MEAN-VARIANCE EFFICIENT PORTFOLIOS BE WELL DIVERSIFIED?, GSIA Working Papers (1990) View citations (1) (1990)