Faculty of Business and Economics  Department of Finance

Bruce Grundy
Professor

Biography

Bruce received his PhD in Finance from the University of Chicago and was previously a faculty member at the Graduate School of Business at Stanford University and the Wharton School of the University of Pennsylvania. Bruce has been a visiting faculty member at the University of Chicago, Macquarie University, Johann Wolfgang Goethe-Universität Frankfurt am Main and Singapore management University. Bruce is the Managing Editor of the International Review of Financial Markets and a past Associate Editor of the Journal of Finance, Review of Financial Studies, Journal of Financial Research, Journal of Financial and Quantitative Analysis and Accounting and Finance.

Bruce has published extensively on momentum trading strategies, option pricing, dividend policy, convertible bond pricing, rational expectations and value-at-risk. His current research interests include governance, the valuation and exercise of real options and the funds management industry. Bruce has consulted for investment banks, corporations, mutual funds and regulators in Australia and the US.

Qualifications

BCom (Hons) Qld, PhD Chic

Teaching responsibilities

Fututes, Options & Derivatives. Real Options. Corporate Finance. Corporate Governance.

Research Interests

momentum trading strategies; option pricing; corporate governance; the valuation and exercise of real options; the funds management industry; cost of capital

Professional Affiliations

Fellow: Australian Society of Certified Practicing Accountants. Member: Financial Integrity Research Network, Asian Finance Association, American Economics Association, American Finance Association, American Mathematical Society, European Finance Association, PRMIA, Western Finance Association.

Publications

Journal Articles
  1. Diana Beal, Bruce D. Grundy and Sarath Delpachitra. 2005. "Disclosure, hidden charges and indexed pensions", Agenda: A Journal of Policy Analysis and Reform, 12(1) pp. 33-46.
  2. Bruce D. Grundy and Youngsoo Kim. 2002. "Stock market volatility in a heterogeneous information economy", Journal of Financial and Quantitative Analysis, 37 (1): pp. 1-27.
  3. Bruce D Grundy and Spencer Martin. 2001. "Momentum: Fact or factor? Momentum investing when returns have a factor structure", Review of Financial Studies, 14 (1): pp. 29-78.
  4. Bruce D. Grundy. 2001. "Merton H. Miller: His contribution to financial economics", Journal of Finance, 56 (4): pp. 1183-1206.
  5. Bruce D Grundy, Yaacov Bergman and Zvi Wiener. 1996. "Generalised properties of option prices", Journal of Finance, 51 (5): pp. 1573-1610.
  6. Bruce D. Grundy. 1991. "Option prices and the underlying asset’s return distribution", Journal of Finance, 46 (3): pp. 1045-1070.
  7. Nai-fu Chen, Bruce D. Grundy and Robert F. Stambaugh. 1990. "Changing risk, changing risk premiums, and dividend yield effects", Journal of Business, 63 (1): pp. 51-70.
  8. George Constantinides and Bruce D. Grundy. 1989. "Optimal investment with stock repurchase and financing as signals", Review of Financial Studies, 2 (4): pp. 445-465.
  9. Bruce D. Grundy and Maureen McNichols. 1989. "Trade and the revelation of information through prices and direct disclosure", Review of Financial Studies, 2 (4): pp. 495-526.
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Books
  1. Bruce D. Grundy, 2002. Selected Works of Merton Miller: A Celebration of Markets. Vol I Finance
  2. Bruce D. Grundy, 2002. Selected Works of Merton Miller: A Celebration of Markets. Vol II Economics
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Working Papers

  1. "The Analysis of VaR, deltas, and state prices: A new approach" - Bruce D Grundy and Zvi Wiener,
  2. "Optimal exercise and valuation of real options: The effects of uncertainty and asymmetric information" - Bruce D. Grundy and Johannes Raaballe,
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