(fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory …-depletion risk being their main concern, tend to quote wider (narrower) spreads when they think bond appreciation is more (less …

(fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory …-depletion risk being their main concern, tend to quote wider (narrower) spreads when they think bond appreciation is more (less …

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market … risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany … weekly). The empirical findings in most cases imply that the market risk premium is a highly persistent variable which can be …