Abul Shamsuddin

University of Newcastle (Australia) - Newcastle Business School

Professor of Finance

City Campus East – 231

Callaghan, NSW 2308

Australia

SCHOLARLY PAPERS

10

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CITATIONS
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in Total Papers Citations

7

Scholarly Papers (10)

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 530 (50,927)
Citation 20

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 237 (127,472)

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 226 (133,618)
Citation 1

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

4.

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 171 (172,887)
Citation 3

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Bank efficiency, SFA analysis, Distance functions, Market model

5.

Seasonality in Stock Returns: Evidence from Advanced Emerging Stock Markets

Number of pages: 39 Posted: 20 Aug 2015
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 168 (176,485)

Abstract:

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Anomalies, Stock market seasonality, Emerging markets

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 151 (192,185)
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 68 (334,554)
Citation 1

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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 43 (416,249)

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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 96 (270,931)

Abstract:

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

9.

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 (621,476)
Citation 1
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10.

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 (644,032)
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Abstract:

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Return predictability, Forecast combination, Advanced emerging markets