Abul Shamsuddin

University of Newcastle (Australia) - Newcastle Business School

Professor of Finance

City Campus East – 231

Callaghan, NSW 2308

Australia

SCHOLARLY PAPERS

12

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SSRN CITATIONS
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SSRN RANKINGS

Top 45,212

in Total Papers Citations

11

CROSSREF CITATIONS

2

Scholarly Papers (12)

1.

Stock Return Predictability and the Adaptive Markets Hypothesis: Evidence from Century Long U.S. Data

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 29 Posted: 26 Jan 2010
Jae H. Kim, Kian-Ping Lim and Abul Shamsuddin
La Trobe University - School of Economics and Finance, Universiti Malaya and University of Newcastle (Australia) - Newcastle Business School
Downloads 544 (54,514)
Citation 9

Abstract:

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Economic bubbles, Fundamental crises, Financial crises, Market

2.

Market Sentiment and the Fama-French Factor Premia

2014 Financial Markets & Corporate Governance Conference
Number of pages: 34 Posted: 03 Feb 2014 Last Revised: 30 Mar 2015
Abul Shamsuddin and Jae H. Kim
University of Newcastle (Australia) - Newcastle Business School and La Trobe University - School of Economics and Finance
Downloads 246 (135,303)
Citation 1

Abstract:

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Advisor Sentiment, Investor Sentiment, Generalized Impulse Response Analysis, Risk Premium, VIX, Wild Bootstrap.

3.

A Closer Look at Return Predictability of the US Stock Market: Evidence from a Panel Variance Ratio Test

Number of pages: 35 Posted: 14 Feb 2013 Last Revised: 19 May 2013
Jae H. Kim and Abul Shamsuddin
La Trobe University - School of Economics and Finance and University of Newcastle (Australia) - Newcastle Business School
Downloads 240 (138,649)

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Fama-French portfolios, Market efficiency, Monte Carlo experiment, Panel data, Wild bootstrap

4.

Seasonality in Stock Returns: Evidence from Advanced Emerging Stock Markets

Number of pages: 34 Posted: 20 Aug 2015 Last Revised: 29 Jul 2019
Mostafa Seif, Paul Docherty and Abul Shamsuddin
University of Newcastle (Australia) - Newcastle Business School, Monash University and University of Newcastle (Australia) - Newcastle Business School
Downloads 182 (179,683)

Abstract:

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Anomalies, Stock market seasonality, Emerging markets

5.

Does Bank Efficiency Matter? Market Value Relevance of Bank Efficiency in Australia

22nd Australasian Finance and Banking Conference 2009
Number of pages: 32 Posted: 15 Oct 2010
Abul Shamsuddin and Dong Xiang
University of Newcastle (Australia) - Newcastle Business School and Qilu University of Technology
Downloads 173 (187,871)
Citation 2

Abstract:

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Bank efficiency, SFA analysis, Distance functions, Market model

6.

Time-Varying Predictive Power of the Dividend Yield for Stock Returns: Evaluation Based on Bootstrapping

Number of pages: 38 Posted: 01 Dec 2014 Last Revised: 17 Feb 2017
Jae H. Kim and Abul Shamsuddin
La Trobe University - School of Economics and Finance and University of Newcastle (Australia) - Newcastle Business School
Downloads 156 (205,085)
Citation 1

Abstract:

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Dividend-yield, EGLS estimation, Monte Carlo experiment, Return predictability

Investor Attention, Information Diffusion and Industry Returns

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 14 Posted: 23 Aug 2010 Last Revised: 23 Aug 2015
Qiongbing Wu and Abul Shamsuddin
Western Sydney University and University of Newcastle (Australia) - Newcastle Business School
Downloads 72 (354,270)
Citation 1

Abstract:

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Market Efficiency, Information Diffusion, Investor Attention, Industry Returns.

Investor Attention, Information Diffusion and Industry Returns

Pacific-Basin Finance Journal, Vol. 30, No. 30-43, July 2014
Number of pages: 14 Posted: 24 Aug 2015
Qiongbing Wu and Abul Shamsuddin
Western Sydney University and University of Newcastle (Australia) - Newcastle Business School
Downloads 46 (442,064)

Abstract:

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Market efficiency, Information diffustion, Investor attention, Industry returns

8.

Empirical Validity of Asset-Pricing Models: Application of Adaptive Significance Level and Equal Probability Test

Number of pages: 41 Posted: 12 Oct 2016 Last Revised: 16 Jan 2018
Jae H. Kim and Abul Shamsuddin
La Trobe University - School of Economics and Finance and University of Newcastle (Australia) - Newcastle Business School
Downloads 113 (263,589)

Abstract:

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Bayesian inference, Equal-probability test, GRS test, Optimal significance level

9.

Limits to Arbitrage and the MAX Effect in Advanced Emerging Markets

Number of pages: 31 Posted: 29 Jul 2019
Mostafa Seif, Paul Docherty and Abul Shamsuddin
University of Newcastle (Australia) - Newcastle Business School, Monash University and University of Newcastle (Australia) - Newcastle Business School
Downloads 9 (636,096)

Abstract:

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MAX effect; limits of arbitrage; mispricing; emerging markets

10.

Short-Horizon Return Predictability in International Equity Markets

Financial Review, Vol. 45, No. 2, pp. 469-484, May 2010
Number of pages: 16 Posted: 12 Apr 2010
Abul Shamsuddin and Jae H. Kim
University of Newcastle (Australia) - Newcastle Business School and La Trobe University - School of Economics and Finance
Downloads 3 (679,914)
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11.

Initial Public Offer Pricing, Corporate Governance and Contextual Relevance: Australian Evidence

Accounting & Finance, Vol. 60, Issue 1, pp. 335-372, 2020
Number of pages: 38 Posted: 19 Mar 2020
Neil Hartnett and Abul Shamsuddin
University of Newcastle and University of Newcastle (Australia) - Newcastle Business School
Downloads 1 (702,158)
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Board, Corporate governance, Initial public offer, Underpricing, Unseasoned

12.

Out‐Of‐Sample Stock Return Predictability in Emerging Markets

Accounting & Finance, Vol. 58, Issue 3, pp. 727-750, 2018
Number of pages: 24 Posted: 17 Sep 2018
Afsaneh Bahrami, Abul Shamsuddin and Katherine Uylangco
University of Newcastle - Newcastle Business School, University of Newcastle (Australia) - Newcastle Business School and Queensland University of Technology - School of Economics and Finance
Downloads 1 (702,158)
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Abstract:

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Return predictability, Forecast combination, Advanced emerging markets