Michael Ashby

Faculty of Economics, University of Cambridge

Sidgwick Avenue

Cambridge, CB3 9DD

United Kingdom

Downing College, Cambridge

Fellow in Economics

Regent St

Cambridge, CB2 1DQ

United Kingdom

  • Faculty of Economics, University of Cambridge

  • Downing College, Cambridge

SCHOLARLY PAPERS

4

DOWNLOADS

437

SSRN CITATIONS

0

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Scholarly Papers (4)

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1.

Do consumption-based asset pricing models explain the dynamics of stock market returns?

Ashby, Michael William, and Oliver Bruce Linton. 2024. "Do Consumption-Based Asset Pricing Models Explain the Dynamics of Stock Market Returns?" Journal of Risk and Financial Management 17, no. 2: 71. https://doi.org/10.3390/jrfm17020071
Number of pages: 42 Posted: 18 May 2018 Last Revised: 12 Feb 2024
Michael Ashby and Oliver B. Linton
Faculty of Economics, University of Cambridge and University of Cambridge
Downloads 191 (302,189)

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consumption-based asset pricing models, serial correlation, predictability, martingale difference sequence, variance ratio, quantilogram, rescaled range, power spectrum, Mincer-Zarnowitz regression, MIDAS

2.

Peaks and Trends in UK Coronavirus Cases

Number of pages: 9 Posted: 17 Jun 2020
Michael Ashby
Faculty of Economics, University of Cambridge
Downloads 114 (460,514)

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coronavirus, COVID, COVID19, Kalman filter

3.

The Value of Using Predictive Information Optimally

Number of pages: 41 Posted: 16 Oct 2020 Last Revised: 17 Nov 2020
Michael Ashby
Faculty of Economics, University of Cambridge
Downloads 93 (530,433)

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conditional efficiency, unconditional efficiency, signal, predictive information, prediction, risk-return trade-off, mean-variance

4.

Are Regulatory Short Sale Data a Profitable Predictor of UK Stock Returns?

Downloads 39 (811,166)

Are Regulatory Short Sale Data a Profitable Predictor of UK Stock Returns?

Number of pages: 33 Posted: 18 Jan 2024
Michael Ashby
Faculty of Economics, University of Cambridge
Downloads 39 (832,685)

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short sales, short selling regulation, net short position disclosure, investment signal, G14, anomaly

Is Regulatory Short Sale Data a Profitable Predictor of UK Stock Returns?

Posted: 16 Oct 2020
Michael Ashby
Faculty of Economics, University of Cambridge

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Short Sales, Short Selling Regulation, Net Short Position Disclosure, Investment Signal, Anomaly