Philip Gray

Department of Banking and Finance, Monash University

Building H

Caulfield, Victoria 3141

Australia

SCHOLARLY PAPERS

14

DOWNLOADS

813

CITATIONS

27

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 550 (48,468)

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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 163 (180,036)
Citation 3

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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 (471,135)
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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 (476,237)
Citation 1
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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 (497,943)
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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 (526,732)
Citation 4
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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 (620,926)
Citation 19
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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 (643,529)
Citation 2
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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 (661,710)
Citation 2
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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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