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Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
CESifo Working Paper No. 8171
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
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).
Schlagwörter: 
realized beta
CAPM
persistence
mean reversion
long memory
JEL: 
C22
G11
Dokumentart: 
Working Paper
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