Prof Phil Gray - Researcher Profile

Phil Gray

Address

Department of Accounting and Finance
Building H, Level 3

Biography

Philip Gray is a professor in the Department of Accounting and Finance.

Prior to joining Monash in 2011, Philip Gray spent 12 years at the University of Queensland where he held positions as Professor of Finance, Finance Cluster Leader and Director of Research, and 8 years at Queensland University of Technology.

He has broad teaching experience in derivative valuation, risk management, empirical finance, asset pricing and MBA finance and has delivered courses at AGSM, Melbourne Business School, QUT, Mt Eliza Business School and the University of Queensland.

Phil’s research interests lie in empirical finance and capital markets (e.g., stock market anomalies, return predictability, risk-based explanation of the cross-section of returns). He also applies quantitative techniques to value derivative securities. His research has been published in journals including the Journal of Finance, the Journal of Futures Markets, the Journal of Banking & Finance, the Journal of Business, Finance & Accounting, the International Review of Finance, the International Journal of Forecasting, the Economic Record, Accounting and Finance and the Australian Journal of Management.

Keywords

empirical finance, asset pricing, option pricing

Qualifications

DOCTOR OF PHILOSOPHY (PHD)
Institution: University of New South Wales
Year awarded: 2000
MASTER OF BUSINESS (ACCOUNTING)
Institution: Queensland University of Technology
Year awarded: 1993
BACHELOR OF COMMERCE
Institution: University of Queensland
Year awarded: 1986

Publications

Journal Articles

Gray, P., Johnson, J., 2011, The relationship between asset growth and the cross-section of stock returns, Journal of Banking and Finance [P], vol 35, issue 3, Elsevier BV, Netherlands, pp. 670-680.

Gray, P., Koh, P., Tong, Y., 2009, Accruals quality, information risk and cost of capital: Evidence from Australia, Journal of Business Finance and Accounting [P], vol 36, issue 1-2, Wiley-Blackwell Publishing Ltd, United Kingdom, pp. 51-72.

Chan, K., Gray, P., van Campen, B., 2008, A new approach to characterizing and forecasting electricity price volatility, International Journal of Forecasting [P], vol 24, issue 4, Elsevier BV, Netherlands, pp. 728-743.

Gray, P., Smith, D., 2008, An empirical investigation of the level effect in Australian interest rates, Australian Journal of Management [P], vol 33, issue 1, Sage Publications Ltd, United Kingdom, pp. 31-45.

Gray, P., 2008, Economic significance of predictability in Australian equities, Accounting and Finance [P], vol 48, issue 3, Wiley-Blackwell Publishing Asia, Richmond Vic Australia, pp. 783-805.

Benson, K., Gray, P., Kalotay, E., Qiu, J., 2008, Portfolio construction and performance measurement when returns are non-normal, Australian Journal of Management [P], vol 32, issue 3, Sage Publications Ltd, United Kingdom, pp. 445-461.

Gray, P., Edwards, S., Kalotay, E., 2007, Canonical valuation and hedging of index options, Journal Of Futures Markets [P], vol 27, issue 8, John Wiley & Sons Inc, United States, pp. 771-790.

Kalotay, E., Gray, P., Sin, S., 2007, Consumer expectations and short-horizon return predictability, Journal of Banking and Finance [P], vol 31, issue 10, Elsevier BV, Netherlands, pp. 3102-3124.

Faff, R., Gray, P., 2006, On the estimation and comparison of short-rate models using the generalised method of moments, Journal of Banking & Finance, vol 30, issue 11, Elsevier BV, North-Holland, The Netherlands, pp. 3131-3146.

Chan, K., Gray, P., 2006, Using extreme value theory to measure value-at-risk for daily electricity spot prices, International Journal of Forecasting [P], vol 22, issue 2, Elsevier BV, Netherlands, pp. 283-300.

Gray, P., 2005, Bayesian estimation of short-rate models, Australian Journal of Management [P], vol 30, issue 1, Sage Publications Ltd, United Kingdom, pp. 1-22.

Gray, P., Newman, S., 2005, Canonical valuation of options in the presence of stochastic volatility, Journal Of Futures Markets [P], vol 25, issue 1, John Wiley & Sons Inc, United States, pp. 1-19.

Alcock, J., Gray, P., 2005, Dynamic, nonparametric hedging of European style contingent claims using canonical valuation, Finance Research Letters [P], vol 2, issue 1, Academic Press, United States, pp. 41-50.

Gray, P., Gray, S., Roche, T., 2005, Efficiency of football betting markets: the economic significance of trading strategies, Accounting and Finance [P], vol 45, issue 2, Wiley-Blackwell Publishing Asia, Richmond Vic Australia, pp. 269-281.

Alcock, J., Gray, P., 2005, Forecasting stock returns using model-selection criteria, Economic Record [P], vol 81, issue 253, Wiley-Blackwell Publishing Asia, Richmond Vic Australia, pp. 135-151.