Dr Md Lutfur Rahman

Scholarly Teaching Fellow

Newcastle Business School

Career Summary

Biography

Lutfur joined the Newcastle Business School as a Scholarly Teaching Fellow in June 2017. He has completed his PhD in 2016 from Newcastle Business School. He has been teaching postgraduate courses such as Foundation of Business Analysis, Corporate Finance, Applied Portfolio Management, and Financial Statement Analysis. Prior to this appointment, Lutfur taught at the same School as a casual academic. He also served as a full-time academic at the Department of Business Administration, East West University, Bangladesh. Lutfur's research interest includes return predictability, asset pricing, emerging equity markets, and corporate social responsibility and firm performance. He has expertise in using softwares like Eviews and R.

Qualifications

  • Doctor of Philosophy, University of Newcastle
  • Bachelor of Business Administration, University of Dhaka - Bangladesh
  • Master of Business Administration, University of Dhaka - Bangladesh

Keywords

  • Asset pricing
  • Investor sentiment and stock returns
  • Return predictability

Languages

  • Bengali (Mother)
  • English (Fluent)

Fields of Research

Code Description Percentage
150201 Finance 100

Professional Experience

UON Appointment

Title Organisation / Department
Scholarly Teaching Fellow University of Newcastle
Newcastle Business School
Australia
Casual Academic University of Newcastle
Newcastle Business School
Australia
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Publications

For publications that are currently unpublished or in-press, details are shown in italics.


Journal article (6 outputs)

Year Citation Altmetrics Link
2019 Rahman ML, Shamsuddin A, Lee D, 'Predictive power of dividend yields and interest rates for stock returns in South Asia: Evidence from a bias-corrected estimator', International Review of Economics and Finance, 62 267-286 (2019) [C1]

© 2019 Elsevier Inc. Predictive models of stock returns are often criticized for generating spurious predictability, unstable predictive relationship, and poor out-of-sample forec... [more]

© 2019 Elsevier Inc. 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.

DOI 10.1016/j.iref.2019.04.010
Co-authors Doowon Lee, Abul Shamsuddin
2019 Uddin GS, Rahman ML, Hedström A, Ahmed A, 'Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes', Energy Economics, 80 743-759 (2019) [C1]

© 2019 Elsevier B.V. We study the cross-quantile dependence of renewable energy (RE) stock returns on aggregate stock returns, changes in oil and gold prices, and exchange rates. ... [more]

© 2019 Elsevier B.V. We study the cross-quantile dependence of renewable energy (RE) stock returns on aggregate stock returns, changes in oil and gold prices, and exchange rates. Applying a recently developed cross-quantilogram approach, we provide two novel findings. First, although prior studies show that RE stock returns have a positive dependence on changes in oil prices and in the aggregate stock index, we find that the relationship is not symmetric across quantiles and that this asymmetry is higher in longer lags. Second, while the extant literature provides evidence that exchange rates and gold returns exert a positive influence on aggregate stock returns, we report that this positive influence on RE stock returns is observed only during extreme market conditions. These results are robust, (i) even after controlling for economic policy and equity market uncertainties, as well as (ii) in both a time-static full sample and recursive subsamples.

DOI 10.1016/j.eneco.2019.02.014
2019 Rahman ML, Shamsuddin A, 'Investor sentiment and the price-earnings ratio in the G7 stock markets', Pacific-Basin Finance Journal, 55 46-62 (2019) [C1]
DOI 10.1016/j.pacfin.2019.03.003
Co-authors Abul Shamsuddin
2018 Uddin GS, Rahman ML, Shahzad SJH, Rehman MU, 'Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach', Energy Economics, 73 108-121 (2018) [C1]

© 2018 Elsevier B.V. This paper examines the nonlinear effect of oil price shocks on precious metal returns using Markov regime switching regression. We use Ready's (2018) ap... [more]

© 2018 Elsevier B.V. This paper examines the nonlinear effect of oil price shocks on precious metal returns using Markov regime switching regression. We use Ready's (2018) approach to decompose oil price changes into supply, demand, and risk driven shocks. Results indicate a significant positive impact of demand and supply shocks and a negative impact of risk shocks on precious metal returns. Although we find evidence of switching between low and high volatility regimes, we do not find strong regime effect on supply or demand shocks' contemporaneous relationship with precious metal returns. However, risk shocks' influence on precious metal returns is strongly regime dependent. These results generally hold for different distributional specification of error terms.

DOI 10.1016/j.eneco.2018.05.024
2018 Labidi C, Rahman ML, Hedström A, Uddin GS, Bekiros S, 'Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis', International Review of Financial Analysis, 59 179-211 (2018) [C1]

© 2018 This paper examines the cross-quantile dependence between developed and emerging market stock returns and investigates its time-varying characteristics, using recursive sam... [more]

© 2018 This paper examines the cross-quantile dependence between developed and emerging market stock returns and investigates its time-varying characteristics, using recursive sample estimations. The results based on cross-quantilogram approach reveal a heterogeneous quantile relation for the USA, UK, German, and Japanese stock returns to those of the emerging markets. Systematic risk generally does not explain the cross-country dependence structure, since it remains essentially unchanged when controlling for financial, geopolitical, and economic uncertainties. Moreover, the cross-quantile correlation changes over time, especially in the low and high quantiles, indicating that it is prone to jumps and discontinuities, even in a seemingly stable dependence structure. These results are important for institutional investors and market observers.

DOI 10.1016/j.irfa.2018.08.005
Citations Scopus - 1
2017 Rahman MD, Lee D, Shamsuddin AFM, Shamsuddin A, 'Time-varying return predictability in South Asian equity markets', International Review of Economics & Finance, 48 179-200 (2017) [C1]
DOI 10.1016/j.iref.2016.12.004
Citations Scopus - 3Web of Science - 1
Co-authors Doowon Lee, Abul Shamsuddin
Show 3 more journal articles

Conference (1 outputs)

Year Citation Altmetrics Link
2018 Rahman ML, Al Mamun M, 'Portfolio returns and investor sentiment: Do market states matter?', Queen Mary University of London (2018)
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Dr Md Lutfur Rahman

Positions

Scholarly Teaching Fellow
Newcastle Business School
Faculty of Business and Law

Casual Academic
Newcastle Business School
Faculty of Business and Law

Contact Details

Email mdlutfur.rahman@newcastle.edu.au
Mobile 0470669788

Office

Building New Space
Location Newcastle City

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