The psychological implications of stress have become an issue of concern for university students around the world over the past decade. It is thought that the perception of stress varies depending on students' personality traits and their beliefs about being able to manage their academic life. To investigate this further, a study was conducted with a sample of 200 university students. The main findings of this study were: (1) All of the Big Five Model of personality traits significantly contribute to developing positive academic self-efficacy, with some of these being moderated by gender. Self-efficacy is characterised by agreeableness, conscientiousness, extraversion, emotionally stability and openness to experience. (2) People with high academic self-efficacy are able to take advantage of eustress and manage distress better than people with low academic self-efficacy. (3) There are some personality traits that contribute to distress and eustress. Specifically, people who are introverted and have low emotional stability and low openness to experience tend to suffer from distress more than people who do not have these traits. In contrast, conscientious people tend to experience eustress more than people without these characteristics. All these traits were mediated by self-efficacy, and in some cases were moderated by gender.