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

SCHOLARLY PAPERS

4

DOWNLOADS

199

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Do Consumption-Based Asset Pricing Models Explain Own-History Predictability in Stock Market Returns?

Number of pages: 44 Posted: 18 May 2018 Last Revised: 28 Aug 2020
Michael Ashby and Oliver B. Linton
Faculty of Economics, University of Cambridge and University of Cambridge
Downloads 90 (361,938)

Abstract:

Loading...

Consumption-Based Asset Pricing Models, Serial Correlation, Predictability, Martingale Difference Sequence, Variance Ratio, Quantilogram, Rescaled Range, Mean Reversion

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 65 (435,316)

Abstract:

Loading...

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 44 (518,277)

Abstract:

Loading...

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

4.

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

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

Abstract:

Loading...

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