Personal William Edwards Professor of Finance Born: August 13, 1958 AddressBusiness Management Department E-mail: mcqueen@byu.edu |
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EducationPh.D. in Finance, University of Washington, School of Business Administration, December 1989. Dissertation: "Three Essays on the Behavior of Asset Returns."
Masters of Business Administration, Brigham Young University, Marriott School of Management, Graduated with Highest Distinction, April 1984.
Bachelor of Arts in Economics, Brigham Young University, Economics Department, December 1981.
Journal ArticlesMcQueen, Grant and Steven Thorley, "Are Stock Returns Predictable? A Test Using Markov Chains," Journal of Finance Vol. 46, March 1991, pp. 239-263. Summarized in The CFA Digest, Winter 1993, Vol. 23, No. 1. Abstract. McQueen, Grant, "Mean Reverting Stock Prices Revisited," Journal of Financial and Quantitative Analysis Vol. 27, March 1992, pp. 1-18. Abstract. Chang, Eric, Grant McQueen, and J. Michael Pinegar, "Tests of the Nominal Contracting Hypothesis Using Stocks and Bonds of the Same Firms," The Journal of Banking and Finance Vol. 16, June 1992, pp. 477-496. Abstract. McQueen, Grant and Steven Thorley, "Asymmetric Business Cycle Turning Points," Journal of Monetary Economics Vol. 31, June 1993, pp. 341-362. Abstract. McQueen, Grant, and V. Vance Roley, "Stock Prices, News, and Business Cycles," The Review of Financial Studies Vol. 6, No. 3, 1993, pp. 683-707. Also available as NBER Working Paper No. 3520. Abstract. McQueen, Grant and Steven Thorley, "Bubbles, Stock Returns, and Duration Dependence," Journal of Financial and Quantitative Analysis, Vol. 29, September 1994, pp. 379-401. Abstract. Larson, Alan and Grant McQueen, "REITs, Inflation, and Real Activity: Lessons from the Gold Market," The Journal of Real Estate Finance and Economics, Vol. 10, No. 3, May 1995, pp. 285-297. Abstract. Crawford, Robert, Grant McQueen, and Maxwell Miller, "Valuing Illiquid Real Property: The Pitfalls of Yield Capitalization," Journal of Property Tax Management, Vol. 6, Issue 4, Spring 1995, pp. 43-56. Abstract. McQueen, Grant and Brent Wilson, "Geneva Steel: Initial Public Offering Case," Journal of Financial Education, Vol. 22, Spring 1996, pp. 82-100. Abstract. McQueen, Grant, Michael Pinegar, and Steven Thorley, "Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns," Journal of Finance, Vol. 51, No. 3, July 1996, pp. 889-920. Abstract. McQueen, Grant, Kay Shields, and Steven Thorley, “Does the ‘Dow-10 Investment Strategy’ Beat the Dow Statistically and Economically?” Financial Analysts Journal, Vol. 53, No. 4, July/August 1997, pp. 66-72. Abstract. (see discussion at Investorhome) McQueen, Grant and Steven Thorley, "Do Investors Learn? Evidence from a Gold Market Anomaly," The Financial Review, Vol. 32, No. 3, August 1997, pp. 501-526. Abstract. Chan, Kalok, Grant McQueen, and Steven Thorley, “Bubbles and Duration Dependence in Asian Stock Markets,” Pacific-Basin Finance Journal, Vol. 6, No. 1-2, 1998, pp. 125-151. Abstract. McQueen, Grant and Steven Thorley, "Mining Fool's Gold," Financial Analysts Journal, Vol. 55, No. 2, March/April, 1999, pp. 61-72. Summarized in The CFA Disgest , Fall 1999, Vol. 29, No. 11. Abstract. Adams, Greg, Grant McQueen, and Kristie Seawright, "Revisiting the Stock Price Impact of Quality Awards," Omega, the International Journal of Management Science, Vol. 27, No. 4, November/December, 1999, pp. 595-604. Abstract. Chang, Eric C., Grant McQueen, and J. Michael Pinegar, "Cross-Autocorrelation in Asian Stock Markets," Pacific-Basin Finance Journal, Vol. 7, No. 5, December 1999, pp. 471-493. Abstract. Alexander, William, Scott Grimshaw, Grant McQueen, and Barrett Slade, "Some Loans are More Equal than Others: Third-party Originations and Defaults in the Subprime Mortgage Industry," Real Estate Economics, Vol. 30, No. 4, Winter 2002, pp. 667-697. Abstract. Lambson, Val, Grant McQueen, and Barrett Slade, "Do Out-of-State Buyers Pay Too Much for Real Estate?" Real Estate Economics, Vol. 32, No. 1, Spring, 2004, pp. 85-126. Paper Adams, Greg, Grant McQueen, and Bob Wood, "The Effects of Inflation News on High Frequency Stock Returns," Journal of Business, Vol 77, No. 3, July 2004. pp. 547-574. Paper Vorkink, Keith, and McQueen, Grant, "Whence GARCH? A Preference-Based Explanation for Conditional Volatility," Review of Financial Studies, Vol. 17, No. 4, Winter 2004, pp. 915-949. Paper Brau, Jim, Lambson, Val, and McQueen, Grant, "Lockups Revisited," Journal of Financial and Quantitative Analysis, Vol. 40, No. 3, September 2005, pp. 519-530. Paper Grimshaw, Scott, James McDonald, Grant McQueen, and Steven Thorley, "Estimating Hazard Functions for Discrete Lifetimes," Communications in Statistics--Simulation and Computation, Vol. 34, No. 2, 2005, pp. 451-463. Non-Journal PublicationsMcQueen, Grant, Ivan Call, and Roger Clarke, "Duration, Immunization, and Volatility for Taxable Debt Securities," in Fixed Income Portfolio Strategies, edited by Frank Fabozzi, Probus Publishing Company, 1989, pp. 167-188. Abstract. McQueen, Grant, "Spreadsheets," in Introduction to Financial Management, fifth edition, McGraw-Hill Book Company, 1988, pp. 489-494, and in Introduction to Financial Management, sixth edition, McGraw-Hill Book Company, 1991, pp. 613-619. Abstract. McQueen, Grant, "The Beta Debate: An Academic's Perspective," The Valuation Examiner, a newsletter to members of the National Association of Certified Valuation Analysts, Fourth Quarter 1993, pp. 2-6. Abstract. McQueen, Grant, “Japan, China, Hong Kong, and Cambodia,” Marriott School Annual Report, 1996/1997, pp. 6-9. Paper. McQueen, Grant and Steven Thorley, "Don't Fall into the Data Mine, Investors Relations Quarterly, Fall 1999, Vol. 3, No. 2, pp. 18-23. Abstract. McQueen, Grant and Steven Thorley, "Stock Market Investing in the 21st Century: Four Important Lessons," Marriott School Exchange Magazine Online, Summer 1999. McQueen, Grant and Steven Thorley, "Stock Strategy Performance Claims: Don't Fall into the Data Mine," AAII Journal, Vol. 22, No. 2, February 2000, pp. 2-7. Abstract. Grimshaw, Scott, Jim McDonald, Grant McQueen, and Steve Thorley, "Testing for Duration Dependence with Discrete Data." In Proceedings of the American Statistical Association Annual Meeting, 2002 Working PapersMcQueen, Grant, "Diversifying with Gold Bullion and Gold Stocks." Paper Grimshaw, Scott, McDonald, Jim, Grant McQueen, and Steven Thorley, "Testing for Duration Dependence with Discrete Data." Paper Teaching Notes and Cases"Determining Cash Flows for Capital Budgeting" (Word) "Forecasting Financial Statements: Proforma Analysis" (Word) "Some Indicators of a Firm's Risk and Debt Capacity" (Word) "After-Tax Cash Flows for Taxable Debt Securities" (WP 8.0 file) "Novell/Digital Research Merger Case" (WP 8.0 file) "The Beta Debate: A Teaching Note" (WP 8.0 file) "Valuing Businesses: A Teaching Note" (Word) "Valuing Publicly Traded Equity Securities: The Black and Decker Corporation" (Word) "Black and Decker Spreadsheet" (Excel) "Yahoo!/GeoCities Case" (Word) Work ExperienceWilliam Edwards Professor of Finance, Business Management Department, BYU, 2000-present.
Visiting Associate Professor of Finance, Department of Finance, ASU, 1998-1999. Associate Professor of Finance, Business Management Department, BYU, 1995-2000.
Assistant Professor of Finance, Institute of Business Management, BYU, 1988-1995.
ActivitiesReferee: Journal of Finance, The Review of Financial Studies, The Journal of Business, Journal of Financial and Quantitative Analysis, Management Science, Journal of Money, Credit, and Banking, Journal of Banking and Finance, Journal of Applied Econometrics, Journal of Empirical Finance, Pacific-Basin Finance Journal, Journal of Business and Economic Statistics, Journal of Empirical Economics, Journal of International Money and Finance, Journal of Real Estate Finance and Economics, Review of Financial Economics, Journal of International Financial Markets, Institutions, and Money, Journal of Economics and Business, Journal of Futures Markets, Managerial and Decision Economics, Journal of Financial Research, The European Journal of Finance, The Financial Review, Review of Quantitative Finance and Accounting, The Economic Journal, International Review of Economics and Finance, International Finance, Quarterly Journal of Business and Economics, Global Finance Journal, American Finance Association, member. Financial Management Association, member. Western Finance Association, member. The Society for Financial Studies, member. Phi Kappa Phi, national honor society, member. Omicron Delta Epsilon, honor society in economics, 1980-85. Presentations"Duration, Immunization, and Volatility for Taxable Debt Securities," presented at:
"Are Stock Returns Predictable? A Test Using Markov Chains," presented at:
"Mean Reverting Stock Prices Revisited," presented at:
"Asymmetric Business Cycle Turning Points," presented at:
"Stock Prices, News, and Business Cycles," presented at:
"Bubbles, Stock Returns, and Duration Dependence," presented at:
"Impact of Quality Management upon Share Price," presented at:
"Valuing Illiquid Real Property: The Pitfalls of Yield Capitalization," presented at:
"Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns," presented at:
"Bubbles and Duration Dependence in Asian Stock Markets," presented at:
"Cross-Autocorrection in Asian Stock Markets,"
"Stock Market Investing in the 21st Century: Four Important Lessons," presented at:
"The Effects of Inflation News on High Frequency Stock Returns," presented at:
"Why Lockup?" presented at:
"Some Loans are More Equal than Others: Third Party Organizations and Mortgage Defaults," presented at:
"Testing for Duration Dependence with Discrete Data," presented at:
"Whence GARCH?" presented at:
"Do Out-of-State Buyers Pay Too Much For Real Estate?" presented at:
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