Under Basel III, the current international banking regulation, banks must maintain two Tier 1 capital ratios that treat risky assets differently. The Basel Committee uses the critical average risk weight (CARW) framework developed by the Bank of England to determine which ratio is the binding...

In this paper we use a repeat-sales index methodology to construct US corporate bond price indices. Using several performance tests, we show that this methodology provides superior index estimates. In particular when assets trade at infrequent and irregular intervals the repeat-sales index is...

This chapter measures stock market liquidity with three low-frequency liquidity estimators, and investigates the long-term behaviour of commonality in liquidity on the Shanghai Stock Exchange (SSE) through principal component analyses and panel regressions. The findings provide strong evidence...