Philip Gray

Department of Banking and Finance, Monash University

Building H

Caulfield, Victoria 3141

Australia

SCHOLARLY PAPERS

14

DOWNLOADS

832

SSRN CITATIONS

3

CROSSREF CITATIONS

28

Scholarly Papers (14)

1.

Constructing Intrinsic Value Estimates of Equity Using IBES and Value Line Forecasts of Fundamentals

Number of pages: 38 Posted: 22 Jun 2007
Free University of Bozen-Bolzano - Faculty of Economics and Management, Department of Banking and Finance, Monash University, Independent, University of Queensland - Accounting and Accountability and University of Toronto - Rotman School of Management
Downloads 561 (50,498)

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2.

Testing Consumption-Based CAPM: Evidence from Alternative Models

Number of pages: 24 Posted: 15 Aug 2011
Bin Li, Ali F. Darrat and Philip Gray
Griffith University - Department of Accounting, Finance and Economics, Louisiana Tech University - College of Business and Department of Banking and Finance, Monash University
Downloads 171 (183,457)
Citation 4

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consumption CAPM, GMM, habit formation, recursive utility

3.

Efficiency of Football Betting Markets: The Economic Significance of Trading Strategies

Accounting and Finance, Vol. 45, No. 2, pp. 269-281, July 2005
Number of pages: 13 Posted: 08 Jun 2005
Philip Gray, Stephen Gray and Timothy Roche
Department of Banking and Finance, Monash University, University of Queensland - Business School and University of Queensland - Business School
Downloads 28 (499,670)
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4.

Bayesian Estimation of Financial Models

Accounting and Finance, Vol. 42, pp. 111-130, 2002
Number of pages: 20 Posted: 24 Nov 2002
Philip Gray
Department of Banking and Finance, Monash University
Downloads 27 (505,021)
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Bayesian estimation, Black-Scholes, maximum likelihood estimation, short-rate model

5.

Future Long-Horizon Performance Measurement Conditional on Past Survival

International Review of Finance, Vol. 4, No. 1-2, pp. 29-48, March 2003
Number of pages: 20 Posted: 18 Jul 2005
Philip Gray and Mark Whittaker
Department of Banking and Finance, Monash University and University of Queensland - Business School
Downloads 23 (528,043)
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6.

Forecasting Stock Returns Using Model-Selection Criteria

Economic Record, Vol. 81, pp. 135-151, June 2005
Number of pages: 17 Posted: 20 May 2005
Jamie Alcock and Philip Gray
The University of Sydney Business School and Department of Banking and Finance, Monash University
Downloads 18 (558,686)
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7.

Accruals Quality, Information Risk and Cost of Capital: Evidence from Australia

Journal of Business Finance & Accounting, Vol. 36, Issue 1-2, pp. 51-72, January/March 2009
Number of pages: 22 Posted: 27 Apr 2009
Philip Gray, Ping-Sheng Koh and Yen H. Tong
Department of Banking and Finance, Monash University, ESSEC Business School and affiliation not provided to SSRN
Downloads 3 (659,501)
Citation 1
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8.

Economic Significance of Predictability in Australian Equities

Accounting & Finance, Vol. 48, No. 5, pp. 783-805, December 2008
Number of pages: 23 Posted: 03 Nov 2008
Philip Gray
Department of Banking and Finance, Monash University
Downloads 1 (681,074)
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9.

Volatility Jumps and Macroeconomic News Announcements

Journal of Futures Markets, Forthcoming
Posted: 11 May 2018
Kam Fong Chan and Philip Gray
The University of Western Australia and Department of Banking and Finance, Monash University

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Implied Volatility; Macroeconomic News Announcements; Price Jumps; Realized Volatility; Volatility Jumps

10.

Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?

Journal of Futures Markets, Forthcoming
Posted: 13 Oct 2016
Kam Fong Chan and Philip Gray
The University of Western Australia and Department of Banking and Finance, Monash University

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Energy Markets; Price Jumps; Macroeconomic Announcements

11.

Stock Weighting and Nontrading Bias in Estimated Portfolio Returns

Accounting & Finance, Vol. 54, Issue 2, pp. 467-503, 2014
Number of pages: 37 Posted: 05 Jun 2014
Philip Gray
Department of Banking and Finance, Monash University
Downloads 0 (698,441)
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Portfolio returns, Size effect, Value premium, Momentum profits, Anomalies

12.

Using Extreme Value Theory to Measure Value-at-Risk for Daily Electricity Spot Prices

International Journal of Forecasting, Vol. 22, No. 2, 2006
Posted: 15 Aug 2009
Kam Fong Chan and Philip Gray
The University of Western Australia and Department of Banking and Finance, Monash University

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Extreme value theory, Value-at-risk, Electricity, EGARCH, Conditional interval coverage

13.

A New Approach to Characterizing and Forecasting Electricity Price Volatility

International Journal of Forecasting, Vol. 24, No. 4, 2008
Posted: 09 Aug 2009
Kam Fong Chan, Philip Gray and Bart van Campen
The University of Western Australia, Department of Banking and Finance, Monash University and University of Auckland - Department of Economics

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Realized volatility, Bipower variation, Quadratic variation, Jumps, Volatility forecast

14.

The Impact of Share Price on Seasonality and Size Anomalies in Australian Equity Returns

Accounting and Finance, Vol. 40, Issue 1
Posted: 07 Jul 2000
Clive Gaunt, Philip Gray and Julie McIvor
Queensland University of Technology - School of Accountancy, Department of Banking and Finance, Monash University and Queensland University of Technology - School of Economics and Finance

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