Professor Philip GRAY
Contact
Positions Held
Professor in Finance
Leader of Finance Cluster
Academic Qualifications
| Degree |
Institution |
Field |
Year |
| PhD |
AGSM, University of New South Wales |
Finance |
2000 |
| MBus(Acc) |
Queensland University of Technology |
Accounting and Finance |
1993 |
| BCom |
The University of Queensland |
Commerce |
1986 |
Memberships
- Accounting and Finance Association of Australia and New Zealand (AFAANZ)
- Asia-Pacific Finance Association
- Australian Society of Certified Practising Accountants
Major Research Grants
| Year |
Title of Grant |
Granting Agency |
Amount |
| 2007-2009 |
'Superannuation funds: Ensuring the financial health of Australians in retirement', (with K. Benson, B. Oliver, M. Hutchinson and K. Alpert). |
ARC Discovery Project |
349,000 |
| 2006 |
'Socially-responsible investments funds: Performance persistence and fund flows', (with K. Benson). |
AFAANZ Research Fund Grant |
6,000 |
| 2006 |
'Returns, tax and volatility: Superannuation choice with a complete information set', (with J. Hall). |
AFAANZ Research Fund Grant |
6,000 |
| 2006-2008 |
'Capital management in a stochastic earnings environment', (with S.F. Gray and J. Alcock). |
ARC Discovery Project |
270,000 |
| 2000 |
'Asssessing the economic significance of return predictability'. |
UQ New Staff Research Grant |
10,000 |
Field of Current Research
| Title of Research Area |
Brief Description |
| Return predictability |
Assessing the evidence of return predictability and its impact on investment practice and asset allocation. This can be approached in various ways, including traditional statistical analysis, economic significance of trading strategies, or analysis of the impact of predictability on optimal asset allocation decisions. |
| Market efficiency |
The econometrics of tests for market efficiency; assessing the extent to which a chosen research methodology drives common findings of market anomalies. |
| Derivative pricing |
Non-parametric methods of pricing and hedging options. |
Publications
Refereed Journal Publications
- Gray, P., Koh, P.S., and Y.H. Tong, 2009, 'Accruals quality, information risk and cost of capital: Evidence from Australia', Journal of Business, Finance and Accounting, forthcoming, accepted 23 October 2008.
- Chan, K.F., Gray, P., and B. van Campen, 2008, 'A new approach to characterizing and forecasting electricity price dynamics', International Journal of Forecasting 24, 728-743.
- Gray, P., 2008, 'The economic significance of return predictability in Australian equities,' Accounting and Finance 48, 783-805.
- Benson, K., Gray, P., Kalotay, E., and J. Qiu, 2008, 'Portfolio construction and performance measurement when returns are non-normal', Australian Journal of Management, 32(3), 444-462.
- Gray, P.and D.R. Smith, 2008, 'An empirical investigation of the level effect in Australian interest rates', Australian Journal of Management, 33(1), 31-45.
- Kalotay, E., Gray, P., and S. Sin, 2007, 'Consumer expectations and short-horizon return predictability', Journal of Banking and Finance, 37, 3102-3124.
- Gray, P., Edwards, S., and E. Kalotay, 2007, 'Canonical pricing and hedging of index options,' Journal of Futures Markets, 27, 771-790.
- Chan, K.F., and P. Gray, 2006, 'Modelling electricity prices in the presence of extreme jumps', Forecasting Letters, 1, 32-39.
- Faff, R., and P. Gray, 2006, 'On the estimation and comparison of short-rate models using the generalised method of moments', Journal of Banking and Finance 30, 3131-3146.
- Chan, K.F., and P. Gray, 2006, 'Using extreme value theory to measure Value-at-Risk for daily electricity spot prices', International Journal of Forecasting 22, 283-300.
- Alcock, J.T., and P. Gray, 2005, 'Forecasting stock returns using model-selection criteria', Economic Record, 81, 253, June, 135-151.
- Gray, P., 2005, 'Bayesian estimation of short-rate models', Australian Journal of Management, 30, 1-22.
- Alcock, J.T., and P. Gray, 2005, 'Dynamic, non-parametric hedging of European-style contingent claims under canonical valuation', Finance Research Letters, 2, 41-50.
- Gray, P., Gray, S.F., and T. Roche, 2005, 'A note on the efficiency in football betting markets: The economic significance of trading strategies', Accounting and Finance, 45, 269-281.
- Gray, P., and S. Newman, 2005, 'Canonical valuation of options in the presence of stochastic volatility,' Journal of Futures Markets, 25, 1-19.
- Boudry, W., and P. Gray, 2003, 'Assessing the economic significance of return predictability: A research note', Journal of Business, Finance, and Accounting 30, 1305-1326.
- Gray, P., and M. Whittaker, 2003, 'Future long-horizon performance measurement conditional on past survival', International Review of Finance, 4, 29-48.
- Gaunt, C., and P. Gray, 2003, 'Short-term autocorrelation in Australian equities,' Australian Journal of Management 28, 97-117.
- Gray, P., 2002, 'Bayesian estimation of financial models', Accounting and Finance 42, pp.111-130.
- Gray, P., and S. Gray, 2001, 'A framework for valuing derivative securities', Financial Markets, Institutions and Instruments, vol 10, no.5, pp.253-276.
- Gray, P., and S. Gray, 2001, 'Option pricing: A synthesis of alternate valuation approaches', Accounting Research Journal, Vol. 14, No. 1, pp.75-83.
- Gaunt, C., Gray, P., and J. McIvor, 2000, 'The impact of share price on seasonality and size anomalies in Australian equity returns', Accounting and Finance 40, March, pp. 33-50.
- Gray, P., Kalotay, E., and J. McIvor, 1998, 'Testing the multivariate normality of Australian stock returns', Australian Journal of Management, December, pp.135-150.
- Gray, P. and S.F. Gray, 1997, 'Testing market efficiency: Evidence from the NFL sports betting market', Journal of Finance 52, September, pp. 1725-1735.
- Brailsford, T.J., Easton, S.A., Gray, P. and S.F. Gray, 1995, 'The efficiency of Australian football betting markets', Australian Journal of Management, December, pp. 167-195.
- Black, T., and P. Gray, 1995, 'The effect of the production volume variance on absorption costing income', Accounting and Finance, May, pp.133-142.
Published Professional Articles
- Gray, P., 2006, 'Share-based payments: A serious issue', In The Black (CPA Journal), October, 54-56.
- Benson, K., and P. Gray, 2005, Does the short rate predict market returns?", Journal of Investment Strategy, 1, 59-62.
Distinctions
- 2006 Sydney Futures Exchange Prize for best derivatives paper at the 2006 Australiasian Finance and Banking Conference, Gray, P., Edwards, S., and E. Kalotay, 2006, 'Canonical pricing and hedging of index options.'
- 2006 SIRCA Prize for best paper using SIRCA data at the 2006 Australiasian Finance and Banking Conference, Gray, P., Edwards, S., and E. Kalotay, 2006, 'Canonical pricing and hedging of index options.'
- 2005 E. Yetton Prize for best paper The Australian Journal of Management for 'Bayesian estimation of short-rate models.'
- 2001 Accounting Research Journal manuscript award for 'Option pricing: A synthesis of alternate valuation approaches' with Stephen Gray.
- 2000 Peter Brownell manuscript award for best paper in Accounting & Finance for 'The impact of share price on seasonality and size anomalies in Australian equity returns' with Clive Gaunt and Julie McIvor.
- 1995 Australian Journal of Management Best Paper Award (runner up) for 'The efficiency of Australian football betting markets'.
Research Interests
- Corporate and Investment Valuation
- Investments and Funds Management
Academic Cluster
Finance
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