Scholars@Duke
A. Craig Burnside

A. Craig Burnside

Mary Grace Wilson Distinguished Professor
Economics
Box 90097, Durham, NC 27708-0097
221 Social Sciences, Box 90097, Durham, NC 27708

Scholarly Works - Journal articles

Foreign Exchange Order Flow as a Risk Factor

Journal article Journal of Financial and Quantitative Analysis · August 1, 2025 We propose a novel pricing factor for currency returns motivated by the market microstructure literature. Our factor aggregates order flow data to provide a measure of buying and selling pressure related to conventional currency trading strategies. It succ ... Full text Cite

On the Asset Market View of Exchange Rates

Journal article Review of Financial Studies · January 31, 2019 Open Access Cite

Understanding booms and busts in housing markets

Journal article Journal of Political Economy · August 1, 2016 Featured Publication Full text Open Access Cite

Identification and inference in linear stochastic discount factor models with excess returns

Journal article Journal of Financial Econometrics · 2016 Featured Publication Full text Open Access Cite

The cross section of foreign currency risk premia and consumption growth risk: Comment

Journal article American Economic Review · December 1, 2011 Lustig and Verdelhan (2007) argue that the excess returns to borrowing US dollars and lending in foreign currency "compensate US investors for taking on more US consumption growth risk," yet the stochastic discount factor corresponding to their benchmark m ... Full text Open Access Cite

Carry trade and momentum in currency markets

Journal article Annual Review of Financial Economics · November 16, 2011 We examine the empirical properties of the payoffs to two popular currency speculation strategies: the carry trade and momentum. We review three possible explanations for the apparent profitability of these strategies. The first is that speculators are bei ... Full text Cite

Investor overconfidence and the forward premium puzzle

Journal article Review of Economic Studies · April 1, 2011 We offer an explanation for the forward premium puzzle in foreign exchange markets based upon investor overconfidence. In the model, overconfident individuals overreact to their information about future inflation, which causes greater overshooting in the f ... Full text Cite

Do peso problems explain the returns to the carry trade?

Journal article Review of Financial Studies · March 1, 2011 We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs that are on average large and uncorrelated with t ... Full text Open Access Cite

The Forward Premium is Still a Puzzle

Journal article · May 2007 Cite

The Returns to Currency Speculation

Journal article CEPR Discussion Paper · October 2006 Cite

Fiscal Shocks in an Efficiency Wage Model

Journal article · January 2000 Cite

Assessing the Effects of Fiscal Shocks

Journal article · January 2000 Cite

The Equity Premium Puzzle

Journal article · 1992 Cite