Bruce D. Grundy

RSFAS

Kingsley Street

Acton ACT

Australia

University of Melbourne

Professor

Faculty of Economics & Commerce

Department of Finance

Melbourne VIC, 3010

Australia

SCHOLARLY PAPERS

26

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SSRN CITATIONS
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Top 8,312

in Total Papers Citations

122

CROSSREF CITATIONS

34

Scholarly Papers (26)

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
RSFAS and University of Melbourne - Faculty of Business and Economics
Downloads 2,873 (5,595)
Citation 69

Abstract:

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Factor loadings, hedging, momentum

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

Posted: 25 Oct 2000
Bruce D. Grundy and J. Spencer Martin
RSFAS 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), RSFAS, 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 1,724 (13,005)
Citation 1

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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, RSFAS and University of Melbourne - Department of Finance
Downloads 1,058 (27,196)
Citation 20

Abstract:

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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 RSFAS
Downloads 535 (68,049)
Citation 1

Abstract:

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crude oil pricing, Hotelling model, Adelman model

5.

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
RSFAS, University of Melbourne - Department of Finance and Erasmus University Rotterdam (EUR)
Downloads 494 (75,045)
Citation 17

Abstract:

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

6.

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 RSFAS
Downloads 481 (77,523)
Citation 1

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7.

Gold-Mining

Number of pages: 56 Posted: 26 Feb 2005
Bruce D. Grundy and Johannes Raaballe
RSFAS and Aarhus University - Department of Management
Downloads 428 (89,060)

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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, RSFAS, Vanderbilt University - Finance and Erasmus University Rotterdam (EUR)
Downloads 355 (110,246)
Citation 12

Abstract:

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Convertible securities, convertible arbitrage, hedge funds

9.

The External Financing of Investment

Number of pages: 41 Posted: 15 Jun 2017 Last Revised: 04 Apr 2019
Bruce D. Grundy and Patrick Verwijmeren
RSFAS and Erasmus University Rotterdam (EUR)
Downloads 333 (118,365)
Citation 1

Abstract:

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

10.

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
RSFAS and Erasmus University Rotterdam (EUR)
Downloads 323 (122,321)
Citation 6

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call policy, dividend protection, convertible securities, security design

11.

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 RSFAS
Downloads 247 (161,355)
Citation 5

Abstract:

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Employee matching grants, corporate social responsibility

12.

LDA quantification of 10-K Risk-Factors and the Information Content of Textual Reporting

Number of pages: 51 Posted: 16 Jun 2020
Bruce D. Grundy and Stefan Petry
RSFAS and University of Manchester - Alliance Manchester Business School
Downloads 213 (185,817)

Abstract:

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risk-factors, textual analysis, 10-K, risk indices

13.

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
RSFAS and Erasmus University Rotterdam (EUR)
Downloads 174 (222,659)
Citation 5

Abstract:

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

14.

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 RSFAS
Downloads 168 (229,451)
Citation 1

Abstract:

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Charitable fundraising, matching grants, public goods

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
RSFAS and University of Western Australia
Downloads 133 (277,301)

Abstract:

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

16.

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 Chang and Bruce D. Grundy
The Hong Kong Polytechnic University, Nanyang Business School, Nanyang Technological University and RSFAS
Downloads 127 (287,023)

Abstract:

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

17.

The Importance of Sovereign Bond Benchmarks for Corporate Debt Issuance

Number of pages: 40 Posted: 24 Feb 2019 Last Revised: 29 Nov 2021
Sjoerd van Bekkum, Bruce D. Grundy and Patrick Verwijmeren
Erasmus University, RSFAS and Erasmus University Rotterdam (EUR)
Downloads 118 (302,930)
Citation 1

Abstract:

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Corporate bond issuance, Sovereign bond issuance, Bond maturity, Sovereign benchmark, Reference rates, Gap Filling

18.

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 RSFAS
Downloads 113 (312,239)

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: 18 Apr 2021
Gary B. Gorton and Bruce D. Grundy
Yale School of Management and RSFAS
Downloads 58 (468,298)

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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 RSFAS

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20.

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

Number of pages: 26 Posted: 17 Mar 2015
Bruce D. Grundy and Patrick Verwijmeren
RSFAS and Erasmus University Rotterdam (EUR)
Downloads 57 (465,068)
Citation 1

Abstract:

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Call policy, Dividend protection, Convertible bonds, Security design

21.

Intermediary Frictions and Asset Pricing

Number of pages: 51
Bruce D. Grundy, Patrick Verwijmeren and Antti Yang
RSFAS, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam
Downloads 3

Abstract:

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intermediary asset pricing, convertible bond underpricing, convertible arbitrage, hedge funds, short-selling costs

22.

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 - Stern School of Business, RSFAS, Vanderbilt University - Finance and Erasmus University Rotterdam (EUR)
Downloads 0 (830,710)
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23.

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 RSFAS

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24.

Theory of Rational Option Pricing: Ii

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

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25.

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

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