Bruce D. Grundy

RSFAS Australian National University

Kingsley Street

Acton ACT

Australia

SCHOLARLY PAPERS

26

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10,414

SSRN CITATIONS
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Top 8,260

in Total Papers Citations

123

CROSSREF CITATIONS

33

Scholarly Papers (26)

Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing

Rodney L. White Center for Financial Research Working Paper Series #13-98
Number of pages: 58 Posted: 02 Jun 1998
Bruce D. Grundy and J. Spencer Martin
RSFAS Australian National University and University of Melbourne - Faculty of Business and Economics
Downloads 2,968 (5,914)
Citation 69

Abstract:

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Factor loadings, hedging, momentum

Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing

Posted: 25 Oct 2000
Bruce D. Grundy and J. Spencer Martin
RSFAS Australian National University and University of Melbourne - Faculty of Business and Economics

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Factor loadings, hedging, momentum

2.

Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market

Forthcoming in Management Science, FIRN Research Paper No. 2695145
Number of pages: 61 Posted: 24 Nov 2015 Last Revised: 05 Jun 2019
University of New South Wales (UNSW), RSFAS Australian National University, National University of Singapore (NUS) - Department of Finance, University of Melbourne - Department of Finance and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics
Downloads 1,801 (13,370)
Citation 1

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Price Pressure, Put-Call Parity, Return Predictability, Informed Trading

3.

Stock Returns and the Miller-Modigliani Valuation Formula: Revisiting the Fama-French Analysis

Number of pages: 24 Posted: 06 Apr 2011 Last Revised: 27 Jun 2012
Gil Aharoni, Bruce D. Grundy and Qi Zeng
University of Melbourne, RSFAS Australian National University and University of Melbourne - Department of Finance
Downloads 1,096 (28,250)
Citation 20

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Book to market, profitability, investment, expected return

4.

Valuation of Crude Oil and Gas Reserves

Number of pages: 35 Posted: 03 Dec 2011
Richard A. Heaney and Bruce D. Grundy
University of Western Australia and RSFAS Australian National University
Downloads 539 (73,114)
Citation 1

Abstract:

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crude oil pricing, Hotelling model, Adelman model

5.

The External Financing of Investment

Number of pages: 41 Posted: 15 Jun 2017 Last Revised: 04 Apr 2019
Bruce D. Grundy and Patrick Verwijmeren
RSFAS Australian National University and Erasmus University Rotterdam (EUR)
Downloads 517 (76,982)
Citation 1

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Investment characteristics, financing, debt-equity choice, convertible securities

6.

Do Option Markets Undo Restrictions on Short Sales? Evidence from the 2008 Short-Sale Ban

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 54 Posted: 22 Nov 2009 Last Revised: 22 Dec 2011
Bruce D. Grundy, Bryan Lim and Patrick Verwijmeren
RSFAS Australian National University, University of Melbourne - Department of Finance and Erasmus University Rotterdam (EUR)
Downloads 501 (80,024)
Citation 17

Abstract:

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short-sale restrictions, option markets, put-call parity

7.

Executive Compensation and the Boundary of the Firm: The Case of Short-Lived Projects

Rodney L. White Center Working Paper No. 1-98
Number of pages: 38 Posted: 01 May 1998
Gary B. Gorton and Bruce D. Grundy
Yale School of Management and RSFAS Australian National University
Downloads 482 (83,784)
Citation 1

Abstract:

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8.

Gold-Mining

Number of pages: 56 Posted: 26 Feb 2005
Bruce D. Grundy and Johannes Raaballe
RSFAS Australian National University and Aarhus University - Department of Management
Downloads 435 (94,553)

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Asymmetric Information, Signaling, Real Options, Options

9.

Convertibles and Hedge Funds as Distributors of Equity Exposure

Number of pages: 53 Posted: 11 Mar 2010 Last Revised: 23 Nov 2012
New York University - Stern School of Business, RSFAS Australian National University, Vanderbilt University - Finance and Erasmus University Rotterdam (EUR)
Downloads 357 (118,503)
Citation 12

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Convertible securities, convertible arbitrage, hedge funds

10.

Disappearing Call Delay and Dividend-Protected Convertible Bonds

Journal of Finance, Forthcoming
Number of pages: 38 Posted: 29 Feb 2012 Last Revised: 28 Apr 2015
Bruce D. Grundy and Patrick Verwijmeren
RSFAS Australian National University and Erasmus University Rotterdam (EUR)
Downloads 328 (129,913)
Citation 6

Abstract:

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call policy, dividend protection, convertible securities, security design

11.

Can Socially Responsible Firms Survive Competition? An Analysis of Corporate Employee Matching Grant Schemes

Number of pages: 72 Posted: 19 Feb 2012 Last Revised: 11 Jul 2017
Ning Gong and Bruce D. Grundy
Deakin University and RSFAS Australian National University
Downloads 250 (171,426)
Citation 5

Abstract:

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Employee matching grants, corporate social responsibility

12.

The Buyers’ Perspective on Security Design: Hedge Funds and Convertible Bond Call Provisions

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 48 Posted: 26 Feb 2016 Last Revised: 21 Jan 2017
Bruce D. Grundy and Patrick Verwijmeren
RSFAS Australian National University and Erasmus University Rotterdam (EUR)
Downloads 176 (236,562)
Citation 5

Abstract:

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Security design, supply of capital, call provisions, convertibles, hedge funds

13.

The Design of Charitable Fund-Raising Schemes: Matching Grants or Seed Money?

Number of pages: 46 Posted: 10 Mar 2008 Last Revised: 14 Jul 2014
Ning Gong and Bruce D. Grundy
Deakin University and RSFAS Australian National University
Downloads 174 (238,876)
Citation 1

Abstract:

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Charitable fundraising, matching grants, public goods

14.

Variation in OPEC and Non-OPEC Crude Oil Production: 1973 to 2010

Number of pages: 34 Posted: 08 Feb 2017
Bruce D. Grundy and Richard A. Heaney
RSFAS Australian National University and University of Western Australia
Downloads 138 (288,479)

Abstract:

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crude oil production, OPEC, non-OPEC, cluster analysis

15.

Multiplicative Risk Prudence, Inflation Uncertainty and the Real Risk-Free Rate Puzzle

Australian Centre for Financial Studies - Finsia Banking and Finance Conference 2010
Number of pages: 30 Posted: 27 Jul 2010
George Wong, Xin Chang and Bruce D. Grundy
The Hong Kong Polytechnic University, Nanyang Business School, Nanyang Technological University and RSFAS Australian National University
Downloads 131 (300,139)

Abstract:

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Multiplicative risk, Risk prudence, Background risk, Inflation Uncertainty, Risk-free Rate Puzzle, Precautionary savings.

16.

Complementarity of Sovereign and Corporate Debt Issuance: Mind the Gap

Number of pages: 40 Posted: 24 Feb 2019 Last Revised: 23 May 2022
Bruce D. Grundy, Sjoerd van Bekkum and Patrick Verwijmeren
RSFAS Australian National University, Erasmus University and Erasmus University Rotterdam (EUR)
Downloads 130 (301,950)
Citation 1

Abstract:

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Corporate bond issuance, Sovereign bond issuance, Bond maturity, Sovereign benchmark, Reference rates, Gap Filling

17.

Wall Street Journal Stories and Oil Prices

Number of pages: 47 Posted: 03 Dec 2011
Richard A. Heaney and Bruce D. Grundy
University of Western Australia and RSFAS Australian National University
Downloads 113 (333,949)

Abstract:

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Crude oil price, information efficiency, storage, OPEC, Wall Street Journal

18.

Intermediary Frictions and Asset Pricing

Number of pages: 51 Posted: 09 Mar 2022
Bruce D. Grundy, Patrick Verwijmeren and Antti Yang
RSFAS Australian National University, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam
Downloads 90 (387,404)

Abstract:

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intermediary asset pricing, convertible bond underpricing, convertible arbitrage, hedge funds, short-selling costs

19.

Understanding Risk Disclosures and Exposures: Insights from a Novel Measure of Information Content

Number of pages: 59 Posted: 13 Apr 2022 Last Revised: 23 May 2022
Bruce D. Grundy and Stefan Petry
RSFAS Australian National University and University of Manchester - Alliance Manchester Business School
Downloads 71 (443,891)

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risk-factors, textual analysis, 10-K, risk indices

Executive Compensation and the Optimality of Managerial Entrenchment

NBER Working Paper No. w5779
Number of pages: 57 Posted: 14 Jul 2000 Last Revised: 18 Apr 2021
Gary B. Gorton and Bruce D. Grundy
Yale School of Management and RSFAS Australian National University
Downloads 60 (490,632)

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Executive Compensation and the Optimality of Managerial Entrenchment

Rodney L. White Center for Financial Research Working Paper Series # 15-96
Posted: 07 Oct 1996
Gary B. Gorton and Bruce D. Grundy
Yale School of Management and RSFAS Australian National University

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21.

Disappearing Call Delay and Dividend-Protected Convertible Bonds: Internet Appendix

Number of pages: 26 Posted: 17 Mar 2015
Bruce D. Grundy and Patrick Verwijmeren
RSFAS Australian National University and Erasmus University Rotterdam (EUR)
Downloads 57 (495,069)
Citation 1

Abstract:

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Call policy, Dividend protection, Convertible bonds, Security design

22.

Hedge Fund Involvement in Convertible Securities

Journal of Applied Corporate Finance, Vol. 25, Issue 4, pp. 60-73, 2013
Number of pages: 16 Posted: 23 Dec 2013
New York University - Stern School of Business, RSFAS Australian National University, Vanderbilt University - Finance and Erasmus University Rotterdam (EUR)
Downloads 0 (908,313)

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23.

Investor Sentiment, Executive Compensation, and Corporate Investment

Journal of Banking and Finance, Vol. 34, 2010
Posted: 04 Aug 2009 Last Revised: 15 Aug 2010
(Michael) Hui Li and Bruce D. Grundy
La Trobe University and RSFAS Australian National University

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24.

Theory of Rational Option Pricing: Ii

Posted: 02 Oct 1999
Bruce D. Grundy and Zvi Wiener
RSFAS Australian National University and Hebrew University of Jerusalem - Jerusalem School of Business Administration

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25.

The Analysis of VAR, Deltas and State Prices: A New Approach

Rodney L. White Center Working Paper No. 11-96
Posted: 17 Oct 1996
Bruce D. Grundy and Zvi Wiener
RSFAS Australian National University and Hebrew University of Jerusalem - Jerusalem School of Business Administration

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General Properties of Option Prices

J. OF FINANCE, Vol. 51 No. 5, December 1996
Posted: 10 Oct 1996
Yaacov Z. Bergman, Bruce D. Grundy and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration, RSFAS Australian National University and Hebrew University of Jerusalem - Jerusalem School of Business Administration

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General Properties of Option Prices

Rodney L. White Center Working Paper No. 1-96
Posted: 26 Jan 1996
Yaacov Z. Bergman, Bruce D. Grundy and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration, RSFAS Australian National University and Hebrew University of Jerusalem - Jerusalem School of Business Administration

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