Now showing items 1-2 of 2

    • Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors 

      Burnside, A Craig (2008)
      Risk factors in many consumption-based asset pricing models display statistically weak correlation with the returns being priced. Some GMM procedures used to test these models have low power to reject misspecified stochastic ...
    • The Returns to Currency Speculation 

      Burnside, A Craig; Eichenbaum, Martin; Kleshchelski, Isaac; Rebelo, Sergio T (2006)
      Currencies that are at a forward premium tend to depreciate. This `forward-premium puzzle` represents an egregious deviation from uncovered interest parity. We document the properties of returns to currency speculation strategies ...