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School of Business
The University of Queensland
Brisbane QLD 4072
AUSTRALIA
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Professor Stephen F. Gray

Academic Qualifications

1995 Ph.D. (Finance), Graduate School of Business, Stanford University. Dissertation Title: Essays in Empirical Finance. Committee Chairman: Ken Singleton
1989 LL.B. (Hons), Bachelor of Laws with Honours, University of Queensland.
1986 B.Com. (Hons), Bachelor of Commerce with Honours, University of Queensland.

Prizes and Honours

2002 Journal of Financial Economics, All-Star Paper Award, for modelling the Conditional Distribution of Interest Rates as a Regime-Switching Process, JFE, 1996, 42, 27-62.
2002 Australian University Teaching Award – Business (a national award for all university instructors in all disciplines).
2000 University of Queensland Award for Excellence in Teaching.
1999 Outstanding Professor Award, Global Executive MBA, Fuqua School of Business, Duke University.
1998 Commendation for Excellence in Teaching, University-wide Teaching Awards, University of Queensland.
1997 American Statistical Association Zellner Award in Business and Economic Statistics Honorable Mention, 1997.
1996 Australian Journal of Management Best Paper Award - runner up, for “The Efficiency of Australian Football Betting Markets" with T.J. Brailsford, S.E. Easton, and P.K. Gray.
1991 Jaedicke Fellow in Finance, Doctoral Program, Graduate School of Business, Stanford University.
1989 Touche Ross Teaching Prize, Department of Commerce, University of Queensland.
1986 University Medal in Commerce, University of Queensland.
1986 Arthur Anderson and Co. Medal in Commerce, University of Queensland.
1986 Coopers & Lybrand Prize in Commerce, University of Queensland.
1986 Thomas Brown & Sons Ltd Honours Thesis Prize, University of Queensland.

Employment

2000-Present Professor of Finance, UQ Business School, University of Queensland.
1997-2000 Associate Professor of Finance, Department of Commerce, University of Queensland & Research Associate Professor of Finance, Fuqua School of Business, Duke University.
1994-1997 Assistant Professor of Finance, Fuqua School of Business, Duke University.
1990-1993 Research Assistant, Graduate School of Business, Stanford University.
1988-1990 Assistant Professor of Finance, Department of Commerce, University of Queensland.

Research Interests

Benchmark returns & the cost of capital. Corporate Finance. Capital structure. Real & strategic options & corporate valuation. Empirical finance & asset pricing. modelling interest rates & pricing interest rate derivative securities. modelling energy prices & pricing energy derivative securities. Financial & credit risk management.

Principal Research Grants

Australian Research Council Discovery Grant, 2002—2004, Quantification Issues in Corporate Valuation, the Cost of Capital, and Optimal Capital Structure.
Australian Research Council Strategic Partnership Grant, 1997—2000, Electricity Contracts and Securities in a Deregulated Market: Valuation and Risk Management for Market Participants.
J.P. Morgan Research Sponsorship, 2003.
Australian Research Council Small Grant, 1999 (with Prof. Kevin Burrage, Dept of Mathematics).

Selected Professional Activities

1998-2002: Finance Area Editor, Australian Journal of Management.
1999-2000: Chairman, Working Party on Electricity Securities, Queensland Electricity Industry.
Referee for Econometrica, Review of Economics and Statistics, Journal of Finance, Journal of Financial Economics, Journal of Econometrics, Journal of Business, Review of Financial Studies, Journal of Business and Economic Statistics, Journal of Economic Dynamics and Control, Journal of Empirical Finance, Journal of International Economics, Finance and Stochastics, Journal of Futures Markets, Journal of Money Credit and Banking, Journal of International Money and Finance, Economic Analysis and Policy, Accounting and Finance, Financial Management, and Journal of Econometrics.

Selected Research Publications

  • Cannavan, Damien, Frank Finn, and Stephen F. Gray (2003), “The value of dividend imputation tax credits in Australia,” Journal of Financial Economics, forthcoming.
  • Gray, Stephen F., Tom Smith, and Robert E. Whaley (2002), “Stock Splits: Implications for Investor Trading Costs,” Journal of Empirical Finance, 10, 271-303.
  • Gray, Stephen F. and Sirimon Treepongkaruna (2002), “On the Robustness of Short-term Interest Rate Models,” Accounting and Finance, 43, 87-121.
  • Gray, Stephen F. and Sirimon Treepongkaruna (2002), “How to Value Interest Rate Derivatives in a No-Arbitrage Setting,” Accounting Research Journal, 15, 1, 39-57.
  • Gray, Philip K. and Stephen F. Gray (2001), “A Framework for Valuing Derivative Securities,” Financial Markets, Institutions, and Instruments, 10, 5, 253-276.
  • Gray, Philip K. and Stephen F. Gray (2001), “Option Pricing: A Synthesis of Alternate Approaches,” Accounting Research Journal, 14, 1. (ARJ 2001 Manuscript Award).
  • Dahlquist, Magnus and Stephen F. Gray (2000), “Regime-Switching and Interest Rates in the European Monetary System,” Journal of International Economics, 50, 2, 399-419.
  • Bollen, Nicolas P., Stephen F. Gray, and Robert E. Whaley (2000), “Regime-Switching in Foreign Exchange Rates: Evidence from Currency Options,” Journal of Econometrics, 94, 239-276.
  • Gray, Stephen F. and Robert E. Whaley (1999), “Reset Put Options: Valuation, Risk Characteristics, and an Example,” Australian Journal of Management, 24, 1, 1-21.
  • Bekaert, Geert and Stephen F. Gray (1998), “Target Zones and Exchange Rates: An Empirical Investigation,” Journal of International Economics, 45, 1, 1-35.
  • Gray, Stephen F. and Robert E. Whaley (1997), “Valuing S&P 500 Bear Market Warrants with a Periodic Reset,” Journal of Derivatives, 5, 1, 99-106.
  • Gray, Philip K. and Stephen F. Gray (1997), “Testing Market Efficiency: Evidence from the NFL Sports Betting Market,” Journal of Finance, 52, 4, 1725-1737.
  • Gray, Stephen F. (1996), “modelling the Conditional Distribution of Interest Rates as a Regime-Switching Process,” Journal of Financial Economics, 42, 27-62.
  • Gray, Stephen F. (1996), “Regime-Switching in Australian Interest Rates,” Accounting and Finance, 36, No.1, 65-88.
  • Brailsford, Timothy J., Steven E. Easton, Philip K. Gray, and Stephen F. Gray (1995), “The Efficiency of Australian Football Betting Markets,” Australian Journal of Management, Vol. 20, No. 2, 167-196.
  • Duffie, Darrell and Stephen F. Gray (1995), “Volatility in Energy Prices,” in Managing Energy Price Risk, Robert Jameson ed., Risk Publications, London.
  • Gray, Stephen F. and Anthony W. Lynch (1990), “An Alternative Explanation of the January Anomaly,” Accountancy Research Journal, Winter, 1-15.
  • Gray, Stephen .F. (1989), “Put Call Parity: An Extension of Boundary Conditions,” Australian Journal of Management, Vol. 14, No. 2, 151-170.
  • Gray, Stephen F. (1988), “The Straddle and the Efficiency of the Australian Exchange Traded Options Market,” Accountancy Research Journal, Spring, 15-27.