Professor Stephen Gray
Malcolm Broomhead Chair in Finance
School of Business
+61 7 334 68032
Room 319, Colin Clark Building, St. Lucia Campus
Researcher biography
Stephen Gray is the Malcolm Broomhead Chair in Finance at UQ Business School.
He is an active consultant and researcher in the areas of valuation, cost of capital, corporate financial strategy, financial modeling, financial risk management, and the creation of shareholder value.
He is well known for his work on empirical finance, asset-pricing and corporate finance which has been published in leading academic and practitioner journals. Stephen teaches a range of award and executive education courses in financial management, asset valuation, and corporate finance at UQ Business School, and has been recognised by the Prime Minister's Award for University Teacher of the Year in the Economics, Business and Related Studies field.
He has Honours degrees in Commerce and Law from the University of Queensland and a PhD in financial economics from the Graduate School of Business at Stanford University.
He is an active consultant to industry on issues relating to valuation, cost of capital, corporate financial strategy, financial modeling, financial risk management and the creation of shareholder value. He is frequently engaged as an expert on financial, valuation, regulatory and competition matters in court proceedings.
Publications
Book Chapters
Chen, En-Te, Gray, Stephen and Nowland, John (2014). Convergence in the ownership and governance of east Asian firms. Issues in governance, growth and globalization in Asia. (pp. 15-30) edited by Tony Cavoli, Siona Listokin and Ramkishen S Rajan. Singapore, Singapore: World Scientific Publishing. doi: 10.1142/9789814504959_0002
Duffie, D., Gray, S. F. and Hoang, P. H. (2004). Volatility in energy prices. Managing Energy Price Risk: The New Challenges and Solutions. (pp. 539-571) edited by V. Kaminski. London: Risk Books.
Duffie, D., Gray, S. F. and Hoang, P. (1999). Volatility in energy prices. Managing Energy Price Risk. (pp. 273-289) edited by R. Jameson. London: Risk Publications.
Journal Articles
Cannavan, Damien, Gray, Stephen and Hall, Jason (2023). Sampling error and the joint estimation of imputation credit value and cash dividend value. Accounting and Finance, 63 (S1), 1029-1068. doi: 10.1111/acfi.12922
Gray, Stephen, Hall, Jason, Pollard, Grant and Cannavan, Damien (2021). The public-private partnership valuation paradox. Accounting Research Journal, 34 (6), 546-579. doi: 10.1108/arj-08-2020-0275
Chan, Kam Fong, Gray, Philip, Gray, Stephen and Zhong, Angel (2020). Political uncertainty, market anomalies and presidential honeymoons. Journal of Banking and Finance, 113 105749, 105749. doi: 10.1016/j.jbankfin.2020.105749
Alex, Paton, Damien, Cannavan, Stephen, Gray and Khoa, Hoang (2019). Analyst vs. model-based earnings forecasts: implied cost of capital applications. Accounting and Finance, 60 (4) 10.1111/acfi.12548, 4061-4092. doi: 10.1111/acfi.12548
Clarkson, Peter M., Gray, Stephen F. and Ragunathan, Vanitha (2018). Market timing as an explanation for the short-lived premium on cross-listing. Accounting and Finance, 58 (S1), 131-157. doi: 10.1111/acfi.12310
Gray, Stephen and Nowland, John (2018). Director workloads, attendance and firm performance. Accounting Research Journal, 31 (2), 214-231. doi: 10.1108/ARJ-02-2016-0023
Chapple, Larelle (Ellie), Gray, Stephen, Nowland, John and Sadiq, Kerrie (2018). 'Name and shame' - director attendance disclosure and practice. Journal of Corporate Law Studies, 18 (2), 311-337. doi: 10.1080/14735970.2017.1412674
Cannavan, Damien and Gray, Stephen (2017). Dividend drop-off estimates of the value of dividend imputation tax credits. Pacific-Basin Finance Journal, 46, 213-226. doi: 10.1016/j.pacfin.2017.08.006
Faff, Robert W., Gray, Stephen and Tan, Kelvin Jui Keng (2016). A contemporary view of corporate finance theory, empirical evidence and practice. Australian Journal of Management, 41 (4), 662-686. doi: 10.1177/0312896216632032
Morrison, David and Gray, Stephen (2016). Phoenixing at the fulcrum: less faff, faster forward formulation. Insolvency Law Journal, 24 (4), 267-279.
Gray, Stephen (2016). Dividend imputation and the corporate cost of capital. JASSA: The Finsia Journal of Applied Finance.
Darrat, Ali F., Gray, Stephen, Park, Jung Chul and Wu, Yanhui (2016). Corporate governance and bankruptcy risk. Journal of Accounting, Auditing and Finance, 31 (2), 163-202. doi: 10.1177/0148558X14560898
Gray, Stephen and Nowland, John (2015). The diversity of expertise on corporate boards in Australia. Accounting and Finance, 57 (2), 1-35. doi: 10.1111/acfi.12146
Norton, Hugh, Gray, Steve and Faff, Robert (2015). Yes, one-day international cricket 'in-play' trading strategies can be profitable!. Journal of Banking and Finance, 61, S164-S176. doi: 10.1016/j.jbankfin.2015.08.031
Gray, Stephen, Harymawan, Iman and Nowland, John (2014). Political and government connections on corporate boards in Australia: good for business?. Australian Journal of Management, 41 (1), 3-26. doi: 10.1177/0312896214535788
Treepongkaruna, Sirimon, Brailsford, Tim and Gray, Stephen (2013). Explaining the bid-ask spread in the foreign exchange market: a test of alternate models. Australian Journal of Management, OnlineFirst (4), 1-20. doi: 10.1177/0312896213499028
Gray, Stephen and Nowland, John (2013). Is prior director experience valuable?. Accounting and Finance, 53 (3), 643-666. doi: 10.1111/j.1467-629X.2012.00481.x
Fitzgerald, Tristan, Gray, Stephen, Hall, Jason and Jeyaraj, Ravi (2013). Unconstrained estimates of the equity risk premium. Review of Accounting Studies, 18 (2), 560-639. doi: 10.1007/s11142-013-9225-z
Chen, En-Te, Gray, Stephen and Nowland, John (2013). Family representatives in family firms. Corporate Governance, 21 (3), 242-263. doi: 10.1111/corg.12009
Poulsen, Michael, Faff, Robert and Gray, Stephen (2013). Financial inflexibility and the value peremium. International Review of Finance, 13 (3), 327-344. doi: 10.1111/irfi.12010
Chen, En-Te, Gray, Stephen and Nowland, John (2012). Multiple founders and firm value. Pacific-Basin Finance Journal, 20 (3), 398-415. doi: 10.1016/j.pacfin.2011.12.001
Treepongkaruna, Sirimon, Brooks, Robert and Gray, Stephen (2012). Do trading hours affect volatility links in the foreign exchange market?. Australian Journal of Management, 37 (1), 7-27. doi: 10.1177/0312896211411934
Chan, Kam Fong, Treepongkaruna, Sirimon, Brooks, Robert and Gray, Stephen (2011). Asset market linkages: Evidence from financial, commodity and real estate assets. Journal of Banking and Finance, 35 (6), 1415-1426. doi: 10.1016/j.jbankfin.2010.10.022
Feuerherdt, Clinton, Gray, Stephen and Hall, Jason (2010). The value of imputation tax credits on Australian hybrid securities. International Review of Finance, 10 (3), 365-401. doi: 10.1111/j.1468-2443.2010.01117.x
Parmenter, Brian, Breckenridge, Amar and Gray, Stephen (2010). Economic analysis of the government's recent mining tax proposals. Economic Papers, 29 (3), 279-291. doi: 10.1111/j.1759-3441.2010.00080.x
Wu, Y., Gaunt, C. and Gray, S. (2010). A comparison of alternative bankruptcy prediction models. Journal of Contemporary Accounting & Economics, 6 (1), 34-45. doi: 10.1016/j.jcae.2010.04.002
Treepongkaruna, S. and Gray, S. (2009). Information and volatility links in the foreign exchange market. Accounting and Finance, 49 (2), 385-405. doi: 10.1111/j.1467-629X.2008.00287.x
Gray, Stephen, Hall, Jason, Klease, Drew and McCrystal, Alan (2009). Bias, stability, and predictive ability in the measurement of systematic risk. Accounting Research Journal, 22 (3), 220-236. doi: 10.1108/10309610911005563
Costello, D., Gray, S. and McCrystal, A. (2008). The diversification benefits of Australian equities to international investors. JASSA, 2008 (4), 31-35.
Gray, Stephen and Hall, Jason (2008). Relationship between franking credits and the market risk premium: A reply. Accounting and Finance, 48 (1), 133-142. doi: 10.1111/j.1467-629x.2007.00243.x
Choy, Elisa Y. W., Gray, Stephen F. and Ragunathan, Vanitha (2006). Effect of credit rating changes on Australian stock returns. Accounting and Finance, 46 (5), 755-769. doi: 10.1111/j.1467-629X.2006.00192.x
Treepongkaruna, S. and Gray, S. F. (2006). Are there non-linearities in short-term interest rates?. Accounting and Finance, 46 (1), 149-167. doi: 10.1111/j.1467-629X.2006.00151.x
Gray, Stephen and Hall, Jason (2006). Relationship between franking credits and the market risk premium. Accounting and Finance, 46 (3), 405-428. doi: 10.1111/j.1467-629X.2006.00175.x
Gray, S. F., Mirkovic, A. S. and Ragunathan, V. (2006). The determinants of credit ratings: Australian evidence. Australian Journal of Management, 31 (2), 333-354.
Gray, Stephen, Mirkovic, Alexsander and Ragunathan, Vanitha (2006). The Determinants of Credit Ratings: Australian Evidence. Australian Journal of Management, 31 (2), 333-354. doi: 10.1177/031289620603100208
Gray, P., Gray, S. F. and Roche, T. (2005). Efficiency of football betting markets: The economic significance of trading strategies. Accounting and Finance, 45 (2), 269-281. doi: 10.1111/j.1467-629x.2004.00129.x
Cannavan, Damien, Finn, Frank and Gray, Stephen (2004). The value of dividend imputation tax credits in Australia. Journal of Financial Economics, 73 (1), 167-197. doi: 10.1016/j.jfineco.2003.09.001
Gray, Stephen F., Smith, Tom and Whaley, Robert E. (2003). Stock splits: Implications for investor trading costs. Journal of Empirical Finance, 10 (3), 271-303. doi: 10.1016/S0927-5398(02)00049-X
Treepongkaruna, S. and Gray, S. F. (2003). Short-term interest rate models: Valuing interest rate derivatives using a Monte-Carlo approach. Accounting and Finance, 43 (2), 231-259. doi: 10.1111/1467-629X.00090
Treepongkaruna, Sirimon and Gray, Stephen (2003). On the robustness of short-term interest rate models. Accounting and Finance, 43 (1), 87-121. doi: 10.1111/1467-629X.00084
Treepongkaruna, S. and Gray, S. F. (2002). How to value interest rate derivatives in a no-arbitrage setting. Accounting Research Journal, 15 (1), 39-57.
Gray, P. and Gray, S. F. (2001). A framework for valuing derivative securities. Financial Markets, Institutions & Instruments, 10 (5), 253-276. doi: 10.1111/1468-0416.00047
Gray, P. and Gray, S. F. (2001). Option pricing: A synthesis of alternate valuation approaches. Accounting Research Journal, 14 (1), 75-83.
Dahlquist, Magnus and Gray, Stephen F. (2000). Regime-switching and interest rates in the European monetary system. Journal of International Economics, 50 (2), 399-419. doi: 10.1016/S0022-1996(99)00005-7
Bollen, Nicolas P. B., Gray, Stephen F. and Whaley, Robert E. (2000). Regime switching in foreign exchange rates: Evidence from currency option prices. Journal of Econometrics, 94 (1-2), 239-276. doi: 10.1016/S0304-4076(99)00022-6
Gray, S. F. and Whaley, R. E. (1999). Reset put options: Valuation, risk characteristics, and an application. Australian Journal of Management, 24 (1), 1-20. doi: 10.1177/031289629902400101
Bekaert, Geert and Gray, Stephen F. (1998). Target zones and exchange rates:: An empirical investigation. Journal of International Economics, 45 (1), 1-35. doi: 10.1016/S0022-1996(97)00034-2
Gray, Stephen F. and Whaley, Robert E. (1997). Valuing S&P 500 bear market warrants with a periodic reset. Journal of Derivatives, 5 (1), 99-106. doi: 10.3905/jod.1997.407987
Gray, Stephen F. (1996). Modeling the conditional distribution of interest rates as a regime-switching process. Journal of Financial Economics, 42 (1), 27-62. doi: 10.1016/0304-405x(96)00875-6
Brailsford, T. J., Easton, S. A., Gray, P. K. and Gray, S. F. (1995). The efficiency of Australian football betting markets. Australian Journal of Management, 20 (2), 167-196.
Gray S.F. (1989). Put Call Parity: An Extension of Boundary Conditions. Australian Journal of Management, 14 (2), 151-169. doi: 10.1177/031289628901400203
Conference Papers
Gray, S. F. and Bellamy, D. (2005). Using stock price changes to estimate the value of dividend franking credits. AFAANZ 2005 Conference, Melbourne, 3-5 July, 2005. Melbourne, Vic: AFAANZ.
Loetscher, T., Gray, S., Kirchhof, G. and Dart, P. (2005). Naiad: Sharing lessons learned from innovative urban water schemes. Ozwater Conference 2005, Brisbane, 8-12 May 2005. [Willoughby, N.S.W]: Australian Water Association.
Gray, S. F. and Lee, T-A. L. (2003). How to fix a one-day international cricket match. AFAANZ 2003 Annual Conference, Brisbane, 6-8 July, 2003. Melbourne: AFAANZ.
Gray, S. F., Kozan, K. and Ragunathan, V. (2002). Credit ratings of Australian firms. AAANZ 2002 Annual Conference, Perth, Western Australia, 7-9 July, 2002. Melbourne, Vic: AAANZ.
Gray, S. F. and Macksey, A. J. (2002). Nonparametric estimation of state price densities: Option pricing applications. AAANZ 2002 Annual Conference, Perth, Western Australia, 7-9 July, 2002. Melbourne, Vic: AAANZ.
Gray, S. F. and Ragunathan, V. (2001). Semiparametric ARCH models. AAANZ Annual Conference, Auckland, New Zealand, 1-3 July, 2001. Melbourne: AAANZ.
Cannavan, D. M., Finn, F. J. and Gray, S. F. (2001). The value of dividend imputation tax credits. Australasian Finance and Banking Conference, Sydney, 17th - 19th December, 2001. Sydney: University of New South Wales.
Gray, S. F. (2001). Option pricing applications of non-parametric state price density estimation. CTAC 2001, Brisbane, 16-18 July, 2001. Brisbane: University of Queensland.
Cannavan, D. M., Finn, F. J. and Gray, S. F. (2000). The value of dividend imputation tax credits. AAANZ 2000 Annual Conference, Hamilton Island, 2-4 July 2000. Melbourne: Accounting and Finance Association of Australia and New Zealand (AAANZ).
Generic Document
Gray, Stephen and Tan, Kelvin Jui Keng (2011). The 2011 FTA Corporate Treasury Survey: Australia and New Zealand. Finance and Treasury Association.
Thesis
Gray, Stephen (1986). Put- call parity and the efficiency of the Australian exchange- traded options market. Honours Thesis, Department of Commerce, The University of Queensland. doi: 10.14264/219813
Research Reports
Gray, Stephen (2013). Consultant report - SFG Consulting - Estimation of the regulated profit margin for electricity retailers in NSW - June 2013. South Bank, QLD, Australia: SFG Consulting.
Gray, Stephen (2013). Market risk premium. Sydney, NSW, Australia: Independent Pricing and Regulatory Tribunal of New South Wales.
Gray, Stephen (2012). Response to submissions on rule change proposals: report for the AEMC. South Bank, QLD, Australia: SFG Consulting.
SFG Consulting and Gray, Stephen (2012). Rule change proposals relating to the debt component of the regulated rate of return: report for AEMC. South Bank, QLD, Australia: SFG Consulting.
SFG Consulting and Gray, Stephen (2012). Preliminary analysis of rule change proposals: report for AEMC. South Bank, QLD, Australia: SFG Consulting.