Stephen Gray

Professor Stephen GRAY

Contact

Positions Held

Professor in Finance

Academic Qualifications

Memberships

• Accounting and Finance Association of Australia and New Zealand (AFAANZ)
• Asia-Pacific Finance Association (AFA)

Major Research Grants

Field of Current Research

Publications

Books And Monographs

Book Chapters

• Duffie, Darrell, Stephen F. Gray, and Philip Hoang (1999), "Volatility in Energy Prices," in Managing Energy Price Risk, 2nd Ed., Robert Jameson ed., Risk Publications, London.

Published Refereed Journal Articles

• Costello, D., S. Gray, and A. McCrystal, (2008), "The diversification benefits of Australian equities," JASSA, forthcoming.
• Gray, S., J. Hall, D. Klease and A. McCrystal, (2008), "Bias, stability and predictive ability in the measurement of systematic risk," Accounting Research Journal, forthcoming.
• Treepongkaruna, S. and S. Gray, (2008), "Information volatility links in the foreign exchange market," Accounting and Finance, forthcoming.
• Gray, S. and J. Hall, (2008), "The Relationship Between Franking Credits and the Market Risk Premium: A Reply," Accounting and Finance, 48, 1, 133-142.
• Feuerherdt, C., S. Gray and J. Hall, (2008), "The Value of Imputation Tax Credits on Australian Hybrid Securities," International Review of Finance, forthcoming.
• Gray, S., A. Mirkovic and V. Ragunathan, (2006), "The Determinants of Credit Ratings: Australian Evidence," Australian Journal of Management, 31(2), 333-354.
• Choy, E., S. Gray and V. Ragunathan, (2006), "The Effect of Credit Rating Changes on Australian Stock Returns," Accounting and Finance, 46(5), 755-769.
• Gray, S. and J. Hall, (2006), "The Relationship Between Franking Credits and the Market Risk Premium," Accounting and Finance, 46(3), 405-428.
• Gray, S. and S. Treepongkaruna, (2006), "Are there non-linearities in short-term interest rates?" Accounting and Finance, 46(1), 149-167.
• Gray, P., S. Gray and T. Roche, (2005), "A Note on the Efficiency in Football Betting Markets: The Economic Significance of Trading Strategies," Accounting and Finance, 45(2) 269-281.
• Duffie, D., S. Gray and P. Hoang, (2004), "Volatility in Energy Prices. In V. Kaminski," (Ed.), Managing Energy Price Risk: The New Challenges and Solutions (3rd ed.). London: Risk Books.
• Cannavan, D., F. Finn and S. Gray, (2004), "The Value of Dividend Imputation Tax Credits in Australia," Journal of Financial Economics, 73, 167-197.
• Gray, S. and S. Treepongkaruna, (2003), "Valuing Interest Rate Derivatives Using a Monte-Carlo Approach," Accounting and Finance, 43(2), 231-259.
• Gray, S., T. Smith and R. Whaley, (2003), "Stock Splits: Implications for Investor Trading Costs," Journal of Empirical Finance, 10, 271-303.
• Gray, S. and S. Treepongkaruna, (2003), "On the Robustness of Short-term Interest Rate Models," Accounting and Finance, 43(1), 87-121.
• Gray, S. and S. Treepongkaruna, (2002), "How to Value Interest Rate Derivatives in a No-Arbitrage Setting," Accounting Research Journal (15), 1.
• Gray, P. and S. Gray, (2001), "A Framework for Valuing Derivative Securities," Financial Markets Institutions & Instruments, 10(5), 253-276.
• Gray, P. and S. Gray, (2001), "Option Pricing: A Synthesis of Alternate Approaches," Accounting Research Journal, 14(1), 75-83.
• Dahlquist, M. and S. Gray, (2000), "Regime-Switching and Interest Rates in the European Monetary System," Journal of International Economics, 50(2), 399-419.
• Bollen, N., S. Gray and R. Whaley, (2000), "Regime-Switching in Foreign Exchange Rates: Evidence from Currency Options," Journal of Econometrics, 94, 239-276.
• Duffie, D., S. Gray and P. Hoang, (1999), "Volatility in Energy Prices. In R. Jameson," (Ed.), Managing Energy Price Risk (2nd ed.). London: Risk Publications.
• Gray, S. and R. Whaley, (1999), "Reset Put Options: Valuation, Risk Characteristics, and an Example," Australian Journal of Management, 24(1), 1-21.
• Bekaert, G. and S. Gray, (1998), "Target Zones and Exchange Rates: An Empirical Investigation," Journal of International Economics, 45(1), 1-35.
• Gray, S. and R. Whaley, (1997), "Valuing S&P 500 Bear Market Warrants with a Periodic Reset," Journal of Derivatives, 5(1), 99-106.
• Gray, S. and P. Gray, (1997), "Testing Market Efficiency: Evidence from the NFL Sports Betting Market," The Journal of Finance, 52(4), 1725-1737.
• Gray, S. (1996), "Modeling the Conditional Distribution of Interest Rates as a Regime- Switching Process," Journal of Financial Economics, 42, 27-62.
• Gray, S. (1996), "Regime-Switching in Australian Interest Rates," Accounting and Finance, 36(1), 65-88.
• Brailsford, T., S. Easton, P.Gray and S. Gray, (1995), "The Efficiency of Australian Football Betting Markets," Australian Journal of Management, 20(2), 167-196.
• Duffie, D. and S. Gray, (1995), "Volatility in Energy Prices," In R. Jameson (Ed.), Managing Energy Price Risk, London: Risk Publications.
• Gray, S. and A. Lynch, (1990), "An Alternative Explanation of the January Anomaly," Accounting Research Journal, 3(1), 19-27.
• Gray, S. (1989), "Put Call Parity: An Extension of Boundary Conditions," Australian Journal of Management, 14(2), 151-170.
• Gray, S. (1988), "The Straddle and the Efficiency of the Australian Exchange Traded Options Market," Accounting Research Journal, 1(2), 15-27.

Research Interests

• Investments and Funds Management

Academic Cluster

Finance