Burnside, Craig; Eichenbaum, Martin; Rebelo, Sergio - In: Annual Review of Financial Economics 3 (2011) 1, pp. 511-535
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 being compensated for bearing risk. The...