Bruce D. Grundy

University of Melbourne

Professor

Faculty of Economics & Commerce

Department of Finance

Victoria , 3010

Australia

SCHOLARLY PAPERS

24

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8,371

SSRN CITATIONS
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Top 10,851

in Total Papers Citations

52

CROSSREF CITATIONS

34

Scholarly Papers (24)

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
University of Melbourne and University of Melbourne - Faculty of Business and Economics
Downloads 2,645 (4,481)
Citation 38

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Factor loadings, hedging, momentum

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

Review of Financial Studies
Posted: 25 Oct 2000
Bruce D. Grundy and J. Spencer Martin
University of Melbourne 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), University of Melbourne, 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 1,138 (18,051)

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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, University of Melbourne and University of Melbourne - Department of Finance
Downloads 916 (24,880)
Citation 9

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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 University of Melbourne
Downloads 522 (53,019)
Citation 1

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crude oil pricing, Hotelling model, Adelman model

5.

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 University of Melbourne
Downloads 479 (59,123)

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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
University of Melbourne, University of Melbourne - Department of Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 476 (59,590)
Citation 4

Abstract:

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

7.

Gold-Mining

EFA 2005 Moscow Meetings Paper
Number of pages: 56 Posted: 26 Feb 2005
Bruce D. Grundy and Johannes Raaballe
University of Melbourne and Aarhus University - Department of Management
Downloads 412 (70,984)

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Asymmetric Information, Signaling, Real Options, Options

8.

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, University of Melbourne, Vanderbilt University - Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 339 (88,976)
Citation 8

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Convertible securities, convertible arbitrage, hedge funds

9.

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
University of Melbourne and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 300 (101,772)
Citation 3

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call policy, dividend protection, convertible securities, security design

10.

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 University of Melbourne
Downloads 226 (136,463)
Citation 3

Abstract:

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Employee matching grants, corporate social responsibility

11.

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 University of Melbourne
Downloads 158 (188,945)

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Charitable fundraising, matching grants, public goods

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
University of Melbourne and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 145 (202,923)
Citation 1

Abstract:

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

13.

The External Financing of Investment

Number of pages: 41 Posted: 15 Jun 2017 Last Revised: 04 Apr 2019
Bruce D. Grundy and Patrick Verwijmeren
University of Melbourne and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 128 (225,424)
Citation 1

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

14.

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 (Simba) Chang and Bruce D. Grundy
The Hong Kong Polytechnic University, Nanyang Business School, Nanyang Technological University and University of Melbourne
Downloads 119 (236,774)

Abstract:

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

15.

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
University of Melbourne and University of Western Australia
Downloads 113 (245,777)

Abstract:

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

16.

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 University of Melbourne
Downloads 110 (250,560)

Abstract:

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

Executive Compensation and the Optimality of Managerial Entrenchment

NBER Working Paper No. w5779
Number of pages: 57 Posted: 14 Jul 2000 Last Revised: 25 Mar 2008
Gary B. Gorton and Bruce D. Grundy
Yale School of Management and University of Melbourne
Downloads 55 (381,504)
Citation 1

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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 University of Melbourne

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18.

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

Number of pages: 26 Posted: 17 Mar 2015
Bruce D. Grundy and Patrick Verwijmeren
University of Melbourne and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 52 (385,294)

Abstract:

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Call policy, Dividend protection, Convertible bonds, Security design

19.

The Importance of Sovereign Reference Rates for Corporate Debt Issuance: Mind the Gap

Number of pages: 55 Posted: 24 Feb 2019
Sjoerd van Bekkum, Bruce D. Grundy and Patrick Verwijmeren
Erasmus University, University of Melbourne and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 38 (436,702)

Abstract:

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corporate debt issuance, sovereign debt, reference rates, gap filling

20.

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 (NYU) - Leonard N. Stern School of Business, University of Melbourne, Vanderbilt University - Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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21.

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 University of Melbourne

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22.

Theory of Rational Option Pricing: Ii

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

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23.

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
University of Melbourne 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, University of Melbourne 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, University of Melbourne and Hebrew University of Jerusalem - Jerusalem School of Business Administration

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