The University of Queensland

Convergence in the ownership and governance of east Asian firms

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

Volatility in energy prices

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.

Volatility in energy prices

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.

Sampling error and the joint estimation of imputation credit value and cash dividend value

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

The public-private partnership valuation paradox

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

Political uncertainty, market anomalies and presidential honeymoons

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

Analyst vs. model-based earnings forecasts: implied cost of capital applications

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

Market timing as an explanation for the short-lived premium on cross-listing

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

Director workloads, attendance and firm performance

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

'Name and shame' - director attendance disclosure and practice

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

Dividend drop-off estimates of the value of dividend imputation tax credits

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

A contemporary view of corporate finance theory, empirical evidence and practice

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

Corporate governance and bankruptcy risk

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

Dividend imputation and the corporate cost of capital

Gray, Stephen (2016). Dividend imputation and the corporate cost of capital. JASSA: The Finsia Journal of Applied Finance.

Phoenixing at the fulcrum: less faff, faster forward formulation

Morrison, David and Gray, Stephen (2016). Phoenixing at the fulcrum: less faff, faster forward formulation. Insolvency Law Journal, 24 (4), 267-279.

The diversity of expertise on corporate boards in Australia

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

Yes, one-day international cricket 'in-play' trading strategies can be profitable!

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

Political and government connections on corporate boards in Australia: good for business?

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

Explaining the bid-ask spread in the foreign exchange market: a test of alternate models

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

Is prior director experience valuable?

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

Unconstrained estimates of the equity risk premium

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

Family representatives in family firms

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

Financial inflexibility and the value peremium

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

Multiple founders and firm value

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

Do trading hours affect volatility links in the foreign exchange market?

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

Asset market linkages: Evidence from financial, commodity and real estate assets

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

Economic analysis of the government's recent mining tax proposals

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

The value of imputation tax credits on Australian hybrid securities

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

A comparison of alternative bankruptcy prediction models

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

Information and volatility links in the foreign exchange market

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

Bias, stability, and predictive ability in the measurement of systematic risk

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

The diversification benefits of Australian equities to international investors

Costello, D., Gray, S. and McCrystal, A. (2008). The diversification benefits of Australian equities to international investors. JASSA, 2008 (4), 31-35.

Relationship between franking credits and the market risk premium: A reply

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

Effect of credit rating changes on Australian stock returns

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

Are there non-linearities in short-term interest rates?

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

Relationship between franking credits and the market risk premium

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

The Determinants of Credit Ratings: Australian Evidence

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

The determinants of credit ratings: Australian evidence

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.

Efficiency of football betting markets: The economic significance of trading strategies

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

The value of dividend imputation tax credits in Australia

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

Stock splits: Implications for investor trading costs

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

On the robustness of short-term interest rate models

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

Short-term interest rate models: Valuing interest rate derivatives using a Monte-Carlo approach

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

How to value interest rate derivatives in a no-arbitrage setting

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.

A framework for valuing derivative securities

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

Option pricing: A synthesis of alternate valuation approaches

Gray, P. and Gray, S. F. (2001). Option pricing: A synthesis of alternate valuation approaches. Accounting Research Journal, 14 (1), 75-83.

Regime-switching and interest rates in the European monetary system

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

Regime switching in foreign exchange rates: Evidence from currency option prices

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

Reset put options: Valuation, risk characteristics, and an application

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

Target zones and exchange rates:: An empirical investigation

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

Valuing S&P 500 bear market warrants with a periodic reset

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

Modeling the conditional distribution of interest rates as a regime-switching process

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

The efficiency of Australian football betting markets

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.

Put Call Parity: An Extension of Boundary Conditions

Gray S.F. (1989). Put Call Parity: An Extension of Boundary Conditions. Australian Journal of Management, 14 (2), 151-169. doi: 10.1177/031289628901400203

Naiad: Sharing lessons learned from innovative urban water schemes

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.

Using stock price changes to estimate the value of dividend franking credits

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.

How to fix a one-day international cricket match

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.

Credit ratings of Australian firms

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.

Nonparametric estimation of state price densities: Option pricing applications

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.

Option pricing applications of non-parametric state price density estimation

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.

Semiparametric ARCH models

Gray, S. F. and Ragunathan, V. (2001). Semiparametric ARCH models. AAANZ Annual Conference, Auckland, New Zealand, 1-3 July, 2001. Melbourne: AAANZ.

The value of dividend imputation tax credits

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.

The value of dividend imputation tax credits

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).

Consultant report - SFG Consulting - Estimation of the regulated profit margin for electricity retailers in NSW - June 2013

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.

Market risk premium

Gray, Stephen (2013). Market risk premium. Sydney, NSW, Australia: Independent Pricing and Regulatory Tribunal of New South Wales.

Response to submissions on rule change proposals: report for the AEMC

Gray, Stephen (2012). Response to submissions on rule change proposals: report for the AEMC. South Bank, QLD, Australia: SFG Consulting.

Rule change proposals relating to the debt component of the regulated rate of return: report for AEMC

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.

Preliminary analysis of rule change proposals: report for AEMC

SFG Consulting and Gray, Stephen (2012). Preliminary analysis of rule change proposals: report for AEMC. South Bank, QLD, Australia: SFG Consulting.

Put- call parity and the efficiency of the Australian exchange- traded options market

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