Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market

27 Pages Posted: 31 Mar 2020

See all articles by Guglielmo Maria Caporale

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Luis A. Gil-Alana

University of Navarra - Department of Economics

Miguel Martin-Valmayor

Universidad Complutense de Madrid (UCM)

Date Written: 2020

Abstract

This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies with the highest market capitalization included in the Spanish IBEX stock market index. Fractional integration methods are applied to estimate their degree of persistence at the daily, weekly and monthly frequency over the period 1 January 2000–15 November 2018 using 1, 3 and 5-year samples. On the whole, the results indicate that the realized betas are highly persistent and do not exhibit mean-reverting behaviour. However, the findings are rather sensitive to the choice of frequency and time span (number of observations).

Keywords: realized beta, CAPM, persistence, mean reversion, long memory

JEL Classification: C220, G110

Suggested Citation

Caporale, Guglielmo Maria and Gil-Alana, Luis A. and Martin-Valmayor, Miguel, Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market (2020). CESifo Working Paper No. 8171, Available at SSRN: https://ssrn.com/abstract=3564876

Guglielmo Maria Caporale (Contact Author)

Brunel University London - Department of Economics and Finance ( email )

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HOME PAGE: http://www.brunel.ac.uk/about/acad/bbs/bbsstaff/ef_staff/guglielmocaporale/

London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Luis A. Gil-Alana

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
Pamplona, 31006
Spain

Miguel Martin-Valmayor

Universidad Complutense de Madrid (UCM) ( email )

Carretera de Humera s/n
Madrid, Madrid 28223
Spain

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