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.
Journal Article: 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
Journal Article: 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
Journal Article: 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
Macoun Research Scholar Program
(2021–2025) Macoun Charitable Foundation
QIC Investment Management Research Proposal
(2021–2022) QIC Limited
Quantifying medical research outcomes
(2014–2015) Merchant Charitable Foundation
The effect of dividend imputation tax credits on market equilibrium
(2020) Doctor Philosophy
(2017) Doctor Philosophy
Three Essays on Corporate Finance Modelling
(2015) Doctor Philosophy
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
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.
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.
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).
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.
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.
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
Macoun Research Scholar Program
(2021–2025) Macoun Charitable Foundation
QIC Investment Management Research Proposal
(2021–2022) QIC Limited
Quantifying medical research outcomes
(2014–2015) Merchant Charitable Foundation
The Management of Asymmetric Risk in a Modern Investment Portfolio
(2008–2010) ARC Linkage Projects
Capital Management in a Stochastic Earnings Framework
(2006–2008) ARC Discovery Projects
(2005–2007) ARC Discovery Projects
Quantification issues in corporate valuation, the cost of capital, and optimal capital structure.
(2003–2005) ARC Discovery Projects
(1999) ARC Australian Research Council (Small grants)
(1998–2000) ARC Collaborative Grant (SPIRT)
(1998) Queensland Electricity Reform Unit
(1998) University of Queensland New Staff Research Grant
Integration of financial and language analysis to predict future security price behaviour
Doctor Philosophy — Associate Advisor
Other advisors:
Three Essays in Real Estate Asset Pricing
Doctor Philosophy — Associate Advisor
Other advisors:
The effect of dividend imputation tax credits on market equilibrium
(2020) Doctor Philosophy — Principal Advisor
Other advisors:
(2017) Doctor Philosophy — Principal Advisor
Other advisors:
Three Essays on Corporate Finance Modelling
(2015) Doctor Philosophy — Principal Advisor
Dividend imputation tax credits: Valuation implications
(2013) Doctor Philosophy — Principal Advisor
Three essays on bankruptcy risk and corporate governance
(2011) Doctor Philosophy — Principal Advisor
Value Relevance of Corporate Governance Improvements in Asia
(2008) Doctor Philosophy — Principal Advisor
Other advisors:
Essays on Electricity Markets
(2005) Doctor Philosophy — Principal Advisor
THE IMPACT OF GROWTH, VOLATILITY AND COMPETITIVE ADVANTAGE ON THE VALUE OF EQUITY INVESTMENTS AND THEIR EMBEDDED OPTIONS
(2005) Doctor Philosophy — Principal Advisor
The Effects of Taxation on Put-Call Parity and Option Exercise Behaviour
(2004) Doctor Philosophy — Principal Advisor
COMPARISON OF NATURAL RESOURCE VALUATION MODELS: EMPIRICAL EVIDENCE
(2004) Doctor Philosophy — Joint Principal Advisor
Essays on Consumption-based Asset Pricing Models
(2010) Doctor Philosophy — Associate Advisor
Asymmetric dependence structures
(2009) Doctor Philosophy — Associate Advisor
MODELLING SHORT-TERM INTEREST RATES AND ELECTRICITY SPOT PRICES
(2006) Doctor Philosophy — Associate Advisor
FINANCE WITHIN THE DEPARTMENT OF COMMERCE
(2002) Doctor Philosophy — Associate Advisor