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Persistence in the Realized Betas: Some Evidence from the Stock Market

Author

Listed:
  • Guglielmo Maria Caporale

    (Department of Economics and Finance, Brunel University London, London UB8 3PN, UK)

  • Luis A. Gil-Alana

    (School of Economics and Business, University of Navarra, 31009 Pamplona, Spain
    Facultad de Derecho, Empresa y Gobierno, Universidad Francisco de Vitoria, 28223 Madrid, Spain)

  • Miguel Martin-Valmayor

    (Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid, 28040 Madrid, Spain)

Abstract

This paper examines the stochastic behaviour of the realized betas in the CAPM model for the ten largest companies in terms of market capitalisation included in the U.S. Dow Jones stock market index. Fractional integration methods are applied to estimate their degree of persistence at daily, weekly, and monthly frequencies over the period July 2000–July 2020 over time spans of 1, 3, and 5 years. On the whole, the results indicate that the realized betas are highly persistent and do not exhibit weak mean-reverting behaviour at the weekly and daily frequencies, whilst there is some evidence of weak mean reversion at the monthly frequency. Our findings confirm the sensitivity of beta calculations to the choice of frequency and time span (the number of observations).

Suggested Citation

  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2024. "Persistence in the Realized Betas: Some Evidence from the Stock Market," JRFM, MDPI, vol. 17(4), pages 1-28, April.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:149-:d:1371513
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    References listed on IDEAS

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    Cited by:

    1. de Oliveira Lima Cagliari Marques, Guilherme & Gonzalez de Freitas Pinto, Mateus, 2024. "Dynamics of persistence in Brazilian economic uncertainty, expectation, and confidence indexes," Finance Research Letters, Elsevier, vol. 70(C).
    2. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Oluwadare O. Ojo & Modupe I. Omotosho, 2026. "Persistence in the Mint Stock Markets: Evidence from a Fractional Integration Model," CESifo Working Paper Series 12406, CESifo.

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