Resumen de Persistence in the realized betas: some evidence for the Spanish stock market

Miguel Ángel Martín Valmayor, Guglielmo M. Caporale, Luis Alberiko Gil Alaña

• 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 theperiod 1 January 2000 – 15 November 2018 using 1, 3 and 5-year samples. On the whole, the results indicate that the realized betas arehighly persistent and do not exhibitmean-reverting behaviour. However, the findings are rather sensitive to the choice of frequency and time span (number of observations).