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Gray, Philip, Koh, Ping-Sheng and Tong, Yen H. (2009) Accruals Quality, Information Risk and Cost of Capital: Evidence from Australia. Journal of Business, Finance and Accounting, 36 1/2: 51-72. doi:10.1111/j.1468-5957.2008.02118.x 636   19 Cited 26 times in Scopus26 0
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 143   0
Gray, P. and Smith, D. R. (2008) An empirical investigation of the level effect in Australian interest rates. Australian Journal of Management, 33 1: 31-45. 90   3 Cited 2 times in Scopus2
Chan, K. F., Gray, P. and van Campen, B. (2008) A new approach to characterizing and forecasting electricity price volatility. International Journal of Forecasting, 24 4: 728-743. doi:10.1016/j.ijforecast.2008.08.002 174 9 18 Cited 24 times in Scopus24 0
Boudry, W. I. and Gray, P. (2003) Assessing the economic significance of return predictability: A research note. Journal of Business, Finance and Accounting, 30 9/10: 1305-1326. 70 100
Gray, P. K. and McAllister, J. C. (2000). Assessing the robustness of market overreaction to alternate measurement methodologies. In: Program and Collected Abstracts of the AAANZ 2000 Annual Conference. AAANZ 2000 Annual Conference, Hamilton Island, (58-58). 2nd - 4th July, 2000. 46  
Gray, P. K. and McAllister, J. C. (2000). Assessing the robustness of market overreaction to alternate measurement methodologies. In: Proceedings of the 7th Asia Pacific Finance Association Annual Conference. 7th APFA Annual Conference, Shanghai, (92-92). 24-26 July, 2000. 76  
Gray, P. and McCallister, J. (2002). Assessing the robustness of market overreaction to methodological variations. In: Accounting Association of Australia and New Zealand (AAANZ) 2002 Annual Conference: Program and Abstracts. AAANZ 2002 Annual Conference, Perth, Western Australia, (81-81). 7-9 July, 2002. 48  
Gray, P. and Tutticci, I. (2007) Australian stock market anomalies. Journal of Investment Strategy, 2 2: 27-35. 208  
Gray, P. (2002) Bayesian estimation of financial models. Accounting and Finance, 42 2: 111-130. 79  
Gray, P. (2005) Bayesian estimation of short-rate models. Australian Journal of Management, 30 1: 1-22. 66  
Gray, P., Edwards, S. and Kalotay, E. (2007) Canonical valuation and hedging of index options. Journal of Futures Markets, 27 8: 771-790. doi:10.1002/fut.20268 124 3 9 Cited 9 times in Scopus9 0
Gray, P. and Newman, S. (2005) Canonical valuation of options in the presence of stochastic volatility. Journal of Futures Markets, 25 1: 1-19. doi:10.1002/fut.20140 108 2 15 Cited 13 times in Scopus13 0
Kalotay, E., Gray, P. and Sin, S. (2007) Consumer expectations and short-horizon return predictability. Journal of Banking and Finance, 31 10: 3102-3124. doi:10.1016/j.jbankfin.2006.11.017 211 3 3 Cited 4 times in Scopus4 0
Benson, K. L. and Gray, P. K. (2005) Does the short rate predict market returns?. Journal of Investment Strategy, 1 1: 59-62. 57  
Alcock, J.T. and Gray, P. (2005) Dynamic, nonparametric hedging of European style contingent claims using canonical valuation. Finance Research Letters, 2 1: 41-50. doi:10.1016/j.frl.2004.09.002 74   Cited 7 times in Scopus7 0
Gray, P. (2008) Economic significance of predictability in Australian equities. Accounting and Finance, 48 5: 783-805. doi:10.1111/j.1467-629X.2008.00264.x 66   4 Cited 3 times in Scopus3 0
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 98   Cited 1 times in Scopus1 0
Gray, P. K. (2000). Estimating short rate models with an approximate likelihood function and data augmentation: A Bayesian approach. In: Proceedings of the 7th Asia Pacific Finance Association Annual Conference. 7th APFA Annual Conference, Shanghai, (125-125). 24-26 July, 2000. 30  
Gray, P. K. (2000). Estimating short rate models with an approximate likelihood function and data augmentation: A Bayesian approach. In: Program and Collected Abstracts of AAANZ 2000 Annual Conference. AAANZ 2000 Annual Conference, Hamilton Island, (58-58). 2nd- 4th July, 2000. 30  
Alcock, J. and Gray, P. (2005) Forecasting stock returns using model-selection criteria. Economic Record, 81 253: 135-151. doi:10.1111/j.1475-4932.2005.00239.x 180   3 Cited 7 times in Scopus7 0
Gray, Philip and Whittaker, Mark (2003) Future long-horizon performance measurement conditional on past survival. International Review of Finance, 4 1-2: 29-48. doi:10.1111/j.1369-412X.2003.00042.x 61 3 0
Chan, K F and Gray, P K (2006) Modelling electricity prices in the presence of extreme jumps. Forecasting Letters, 1 1: 32-39. 104  
Faff, R. and Gray, P. (2006) On the estimation and comparison of short-rate models using the generalised method of moments. Journal of Banking and Finance, 30 11: 3131-3146. doi:10.1016/j.jbankfin.2005.09.016 146 1008 5 Cited 8 times in Scopus8 0
Gray, P. and Gray, S. F. (2001) Option pricing: A synthesis of alternate valuation approaches. Accounting Research Journal, 14 1: 75-83. 80  
Benson, K., Gray, P., Kalotay, E. and Qiu, J. (2008) Portfolio construction and performance measurement when returns are non-normal. Australian Journal of Management, 32 3: 445-461. 186   0 Cited 2 times in Scopus2
Gray, P. K. (2006) Share-based payments: A serious issue. Intheblack, 76 9: 54-56. 202  
Gaunt, C. N. and Gray, P. (2001). Short-term autocorrelation in Australian equities. In: Program and Collected Abstracts of AAANZ 2001 Annual Conference. AAANZ Annual Conference, Auckland, New Zealand, (60-60). 1-3 July, 2001. 47  
Clive Gaunt and Philip Gray (2003) Short-term autocorrelation in Australian equities. Australian Journal of Management, 28 1: 97-117. 85 619
Gray, PK and Gray, SF (1997) Testing market efficiency: Evidence from the NFL sports betting market. Journal of Finance, 52 4: 1725-1737. doi:10.2307/2329455 245   51 0
Gray, Philip, Kalotay, Egon and McIvor, Julie (1998) Testing the multivariate normality of Australian stock returns. Australian Journal of Management, 23 2: 135-150. 63  
Boudry, W. I. and Gray, P. (2001). The economic significance of return predictability: An asset allocation approach. In: Program and Collected Abstracts of AAANZ 2001 Annual Conference. AAANZ Annual Conference, Auckland, (22-22). 1-3 July, 2001. 57  
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. 218  
Gaunt, Clive N., Gray, Philip and McIvor, Julie (2000) The impact of share price on seasonality and size anomalies in Australian equity returns. Accounting and Finance, 40 1: 33-50. doi:10.1111/1467-629X.00034 142   Cited 32 times in Scopus32 0
Gray, Philip and Johnson, Jessica (2011). The relationship between asset growth and the cross-section of stock returns. In: Fariborz Moshirian and I. Mathur, Journal of Banking and Finance. Proceedings of: Australasian Finance Conference: Global financial crisis, international financial architecture and regulation. 22nd Australasian Finance and Banking Conference, Sydney, NSW, Australia, (670-680). 16-18 December 2009. doi:10.1016/j.jbankfin.2010.06.005 242 46 7 Cited 8 times in Scopus8 0
Chan, Kam Fong and Gray, Philip (2006) Using extreme value theory to measure value-at-risk for daily electricity spot prices. International Journal of Forecasting, 22 2: 283-300. doi:10.1016/j.ijforecast.2005.10.002 242   10 Cited 47 times in Scopus47 0