The Basel gap, the difference between a country's credit-to-GDP ratio and its estimated long-term trend, is used as a basis for setting the countercyclical regulatory capital buffers under the Basel III regulatory framework. Using international data from the BIS as well as simulations, we show...

Previous studies have cast doubt on the construct validity of the asymmetric timeliness (AT) coefficient from the Basu (1997) model as a measure of conditional conservatism. The purpose of this paper is to clarify the exact conditions under which the AT coefficient fails to identify accounting...

We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a simple microstructure model to demonstrate that VCV is strictly increasing in the...

We provide evidence that institutions place lower trading priority and delay their trading in small, illiquid stocks. The slow trading of small stocks in turn delays the adjustment of small stock prices. In contrast, for large, liquid stocks, institutions demand immediacy, which generates some...

This paper provides new evidence on the role of exchange rates in forecasting commodity prices. Consistent with previous studies, we find that commodity currencies hold out-of-sample predictive power for commodity prices when using standard linear predictive regressions. After we reconsider the...