Professor Abul Shamsuddin

This paper describes the development of and gaps in knowledge in research on carbon accounting based on a systematic review of 117 papers published in influential accounting journals between 2005 and 2018. The review shows the literature has developed into four major streams of carbon accounting: carbon disclosure, management, performance and assurance, and that carbon accounting is emerging as a distinct discipline. Finally, our paper highlights future research opportunities to improve carbon accounting, so it can play an even more important role to help business achieve the climate goals of the Paris Agreement.

Advanced emerging markets (AEMs) transitioning into developed markets experience far-reaching economic and institutional changes. Developing predictive models of stock returns in AEMs involves challenges of parameter instability and model uncertainty. This study uses Markov regime switching (MRS) models to address parameter instability and a combination forecast approach to mitigate model uncertainty. We find that the MRS model better captures the effects of predictor variables on returns compared to models with time-invariant parameters and produces statistically and economically significant return forecasts. Combining return forecasts from different MRS models further improves return predictability in AEMs. Consequently, employing MRS models in conjunction with the combination forecast approach goes a long way to improving forecast accuracy in AEMs.

Predictive models of stock returns are often criticized for generating spurious predictability, unstable predictive relationship, and poor out-of-sample forecasting performance. This paper addresses these issues in the context of four major South Asian equity markets. We provide a bias-corrected estimate of the relationship of future stock returns to dividend yield and interest rate. We use a restricted vector autoregressive model, draw statistical inferences from a wild-bootstrap method with superior size and power properties, and allow model parameters to vary over time. Dividend yield is a significant predictor in both in- and out-of-sample (OOS)in two countries, while interest rate exhibits significant predictability in all four markets. Imposing theoretically motivated restrictions on model parameters appears to improve OOS predictability. Finally, time-variation in return predictability is found to be linked to countercyclical risk premium and persistence of the predictor variables.

This article examines the influence of liquidity risk on the U.S. secondary corporate loan market (herein loan market). The authors empirically disentangle the impact of both loan-level liquidity shocks and systematic liquidity risk from default risk. Loans that experience shocks to either liquidity or default risk experience ongoing price declines, complementing evidence presented elsewhere of price momentum in loan markets. The prices of loans with high liquidity risk are significantly discounted when market liquidity is low, consistent with the time-varying funding liquidity constraints of financial intermediaries. In keeping with a close link between high risk debt markets and equity markets, there is evidence that equity market risk is priced in the loan market.

The global financial crisis has disrupted trade and capital flows in most developing economies, resulting in an increased volatility of exchange rates. We develop an autoregressive distributed lag model to investigate the effect of exchange rate volatility on economic growth in Uganda. Using data spanning the period 1960¿2011, we find that exchange rate volatility positively affects economic growth in Uganda in both the short run and the long run. However, in the short run, political instability negatively moderates the exchange rate volatility¿economic growth nexus. These results are robust to alternative specifications of the economic growth model.

We report new evidence that factor premia have strong dynamic effects on a range of sentiment measures, while the reverse effect is weak and only contemporaneous. Our analysis takes explicit account of endogeneity of sentiment measures to factor premia, and adopts statistical inference robust to non-normality and heteroscedasticity, which are largely neglected in the previous studies.

This paper examines the return predictability of the US stock market using portfolios sorted by size, book-to-market ratio and industry. We use novel panel variance ratio tests, based on the wild bootstrap proposed in this paper, which exhibit desirable size and power properties in small samples. We have found evidence that stock returns have been highly predictable from 1964 to 1996, except for a period leading to the 1987 crash and its aftermath. After 1997, stock returns have been unpredictable overall. At a disaggregated level, we find evidence that large-cap portfolios have been priced more efficiently than small- or medium-cap portfolios; and that the stock returns from high-tech industries are far less predictable than those from non-high-tech industries.

This paper empirically investigates market efficiency and trading rule profitability of the Ugandan foreign exchange market for the period January 1994 to June 2012. We test for market efficiency using a battery of variance ratio tests with superior size and power properties. We find that the Ugandan foreign exchange market is characterised by pricing inefficiency, except for a few brief episodes of efficiency. We also find that the Buy signals outperform the Sell signals in correctly predicting exchange rate movements, and yield higher returns. Investors can earn excess returns over a buy-and-hold strategy using trading rules but these returns diminish substantially after accounting for transaction costs. We conclude that the Ugandan foreign exchange market is generally characterised by weak-form inefficiency. However, market participants are unable to consistently exploit pricing inefficiencies due to transaction costs and time variation in the inefficiencies under changing market conditions. Our finding of time variation in market efficiency is consistent with the adaptive market hypothesis of Lo (2004).

This paper empirically investigates the usefulness of a hybrid model consisting of macroeconomic fundamentals and market microstructure variables in examining the dynamics of the Uganda shilling/US dollar foreign exchange rates. We employ macroeconomic fundamentals that are guided by the monetary model of exchange rates and market microstructure related frictions represented by order flow and bid-ask spreads to track long-run and short-run movements in exchange rates, respectively. Utilising the ARDL framework, we estimate the model using monthly data spanning the period January 1995 to March 2013. We find that our hybrid model is robust to alternative model specifications and provides an adequate framework to explain the dynamics of the Uganda shilling/US dollar foreign exchange rates.

Using the monthly data for more than 1700 Australian stocks over the period from 1990 to 2009, we investigate whether industry portfolio returns predict the aggregate market. We find that a few industries significantly lead the market even controlling for well-recognized market predictors. However, unlike U.S. studies, we do not find that the ability of an industry to predict the market is closely related to its propensity to forecast economic growth. Instead, we find that the capacity of an industry to lead the market is significantly moderated by proxies for investor attention. In general, more neglected industries are more informative in leading the markets due to delayed investor attention to the information content of these industries; and the information contained in industry portfolio returns is incorporated into the market return more slowly during economic recession when investors pay less attention to the stock markets. Our research provides new empirical evidence in support of the gradual information diffusion hypothesis from a market that differs from the U.S. stock market. © 2014.

This paper examines the integration of the Australian stock market with its two leading trading partners, the US and Japan. In investigating the extent of integration, this study takes into account the interdependence between foreign exchange rates and stock prices, since exchange rates influence international competitiveness of firms, and, via interest rates, the cost of capital. The results indicate that there was a stable long-run relationship among the Australian, US and Japanese markets prior to the Asian crisis but that this relationship disappeared in the post-Asian crisis period. An analysis of the short-run dynamic linkages among markets suggests that, following the Asian crisis, the US influence on the Australian market diminished while the influence of Japan remained at a modest level. Furthermore, the impulse response analysis indicates only a contemporaneous transmission of shocks from one market to other markets. Confidence intervals for impulse responses are estimated using the bootstrap-after-bootstrap method. © 2002 Elsevier Science B.V. All rights reserved.