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Personal profile

Biography

Philip Gray is a professor in the Department of Banking and Finance.



Prior to joining Monash in 2011, Philip Gray spent 12 years at the University of Queensland where he held positions as Professor of Finance, Finance Cluster Leader and Director of Research, and 8 years at Queensland University of Technology.

He has broad teaching experience in derivative valuation, risk management, empirical finance, asset pricing and MBA finance and has delivered courses at AGSM, Melbourne Business School, QUT, and the University of Queensland.

Phil's research interests lie in empirical finance and capital markets (e.g., stock market anomalies, risk-based explanation of the cross-section of returns). He also applies quantitative techniques to value derivative securities. His research has been published in journals including the Journal of Futures Markets, the Journal of Banking and Finance, the Journal of Business, Finance and Accounting, the International Review of Finance, the International Journal of Forecasting, the Economic Record, Accounting and Finance and the Australian Journal of Management.

Keywords

  • empirical finance
  • asset pricing
  • option pricing

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Projects 2007 2021

Research Output 1995 2018

Investment-related anomalies in Australia: evidence and explanations

Cao, V. N., Gray, P. & Zhong, A., Oct 2018, (Accepted/In press) In : International Review of Financial Analysis. 13 p.

Research output: Contribution to journalArticleResearchpeer-review

The profitability of trading NOA and accruals: one effect or two?

Gray, P., Liao, I. S. & Strydom, M., 1 Jul 2018, In : International Review of Financial Analysis. 58, p. 211-224 14 p.

Research output: Contribution to journalArticleResearchpeer-review

Volatility jumps and macroeconomic news announcements

Chan, K. F. & Gray, P., 1 Aug 2018, In : Journal of Futures Markets. 38, 8, p. 881-897 17 p.

Research output: Contribution to journalArticleResearchpeer-review

Do scheduled macroeconomic announcements influence energy price jumps?

Chan, K. F. & Gray, P., 1 Jan 2017, In : Journal of Futures Markets. 37, 1, p. 71-89 19 p.

Research output: Contribution to journalArticleResearchpeer-review

Extreme value theory and risk management in electricity markets

Chan, K. F. & Gray, P., 2017, Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications. Longin, F. (ed.). Hoboken NJ USA: John Wiley & Sons, p. 405-425 21 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Activities 1991 1991

  • 1 Membership of an advisory panel/policy group/ board

CPA Australia (External organisation)

Phil Gray (Member)
1 Jan 199131 Dec 2011

Activity: Industry, Government and Philanthropy Engagement and PartnershipsMembership of an advisory panel/policy group/ board