Overview
Background
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.
Availability
- Professor Stephen Gray is:
- Available for supervision
- Media expert
Fields of research
Qualifications
- Bachelor (Honours) of Commerce, The University of Queensland
- Bachelor (Honours) of Law, The University of Queensland
- Doctor of Philosophy, Stanford University
Works
Search Professor Stephen Gray’s works on UQ eSpace
2006
Journal Article
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.
2005
Journal Article
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
2005
Conference Publication
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.
2005
Conference Publication
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.
2004
Journal Article
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
2004
Book Chapter
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.
2003
Journal Article
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
2003
Journal Article
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
2003
Conference Publication
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.
2003
Journal Article
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
2002
Conference Publication
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.
2002
Conference Publication
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.
2002
Journal Article
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.
2001
Conference Publication
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.
2001
Journal Article
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.
2001
Conference Publication
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.
2001
Journal Article
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
2001
Conference Publication
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.
2000
Journal Article
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
2000
Journal Article
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
Funding
Current funding
Supervision
Availability
- Professor Stephen Gray is:
- Available for supervision
Before you email them, read our advice on how to contact a supervisor.
Supervision history
Current supervision
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Doctor Philosophy
Three Essays in Real Estate Asset Pricing
Associate Advisor
Other advisors: Professor Shaun Bond
Completed supervision
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2020
Doctor Philosophy
The effect of dividend imputation tax credits on market equilibrium
Principal Advisor
Other advisors: Dr Duy-Minh Dang
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2017
Doctor Philosophy
Essays on Implied Dividends
Principal Advisor
Other advisors: Dr Vanitha Ragunathan
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2008
Doctor Philosophy
Value Relevance of Corporate Governance Improvements in Asia
Principal Advisor
Other advisors: Dr Vanitha Ragunathan
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2005
Doctor Philosophy
Essays on Electricity Markets
Principal Advisor
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2005
Doctor Philosophy
THE IMPACT OF GROWTH, VOLATILITY AND COMPETITIVE ADVANTAGE ON THE VALUE OF EQUITY INVESTMENTS AND THEIR EMBEDDED OPTIONS
Principal Advisor
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2004
Doctor Philosophy
The Effects of Taxation on Put-Call Parity and Option Exercise Behaviour
Principal Advisor
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2004
Doctor Philosophy
COMPARISON OF NATURAL RESOURCE VALUATION MODELS: EMPIRICAL EVIDENCE
Joint Principal Advisor
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2006
Doctor Philosophy
MODELLING SHORT-TERM INTEREST RATES AND ELECTRICITY SPOT PRICES
Associate Advisor
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2002
Doctor Philosophy
FINANCE WITHIN THE DEPARTMENT OF COMMERCE
Associate Advisor
Media
Enquiries
Contact Professor Stephen Gray directly for media enquiries about:
- Corporate finance
- Finance
- Finance - corporate
- Financial markets
- Financial modelling
- Investments
- Markets - fiancial
- Modelling - financial
- Shares
- Stock market
- Stock market - futures
- Stock market - options
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