GrantPermissionRule Failed to grant permissions

I am writing a test class and I am trying to grant the permissions using the rule GrantPermissionRule:

@Rule
public GrantPermissionRule permissionsRule = GrantPermissionRule.grant(
        Manifest.permission.READ_EXTERNAL_STORAGE,
        Manifest.permission.WRITE_EXTERNAL_STORAGE);

But I get the following error at the beginning of the test execution:

junit.framework.AssertionFailedError: Failed to grant permissions, see logcat for details
    at junit.framework.Assert.fail(Assert.java:50)
    at android.support.test.runner.permission.PermissionRequester.requestPermissions(PermissionRequester.java:110)
    at android.support.test.rule.GrantPermissionRule$RequestPermissionStatement.evaluate(GrantPermissionRule.java:128)
    at org.junit.rules.RunRules.evaluate(RunRules.java:20)
    at org.junit.runners.ParentRunner.runLeaf(ParentRunner.java:325)
    at org.junit.runners.BlockJUnit4ClassRunner.runChild(BlockJUnit4ClassRunner.java:78)
    at org.junit.runners.BlockJUnit4ClassRunner.runChild(BlockJUnit4ClassRunner.java:57)
    at org.junit.runners.ParentRunner$3.run(ParentRunner.java:290)
    at org.junit.runners.ParentRunner$1.schedule(ParentRunner.java:71)
    at org.junit.runners.ParentRunner.runChildren(ParentRunner.java:288)
    at org.junit.runners.ParentRunner.access$000(ParentRunner.java:58)
    at org.junit.runners.ParentRunner$2.evaluate(ParentRunner.java:268)
    at org.junit.runners.ParentRunner.run(ParentRunner.java:363)
    at android.support.test.runner.AndroidJUnit4.run(AndroidJUnit4.java:101)
    at org.junit.runners.Suite.runChild(Suite.java:128)
    at org.junit.runners.Suite.runChild(Suite.java:27)
    at org.junit.runners.ParentRunner$3.run(ParentRunner.java:290)
    at org.junit.runners.ParentRunner$1.schedule(ParentRunner.java:71)
    at org.junit.runners.ParentRunner.runChildren(ParentRunner.java:288)
    at org.junit.runners.ParentRunner.access$000(ParentRunner.java:58)
    at org.junit.runners.ParentRunner$2.evaluate(ParentRunner.java:268)
    at org.junit.runners.ParentRunner.run(ParentRunner.java:363)
    at org.junit.runner.JUnitCore.run(JUnitCore.java:137)
    at org.junit.runner.JUnitCore.run(JUnitCore.java:115)
    at android.support.test.internal.runner.TestExecutor.execute(TestExecutor.java:56)
    at android.support.test.runner.AndroidJUnitRunner.onStart(AndroidJUnitRunner.java:384)
    at android.app.Instrumentation$InstrumentationThread.run(Instrumentation.java:1886)

And this is the logcat output (Errors only):

12-23 13:03:21.196 13242-13242/? E/dex2oat: Failed to create oat file: /data/dalvik-cache/arm/data@data@com.google.android.gms@app_chimera@m@00000088@DynamiteLoader.apk@classes.dex: Permission denied
12-23 13:03:21.721 13306-13306/? E/dex2oat: Failed to create oat file: /data/dalvik-cache/arm/data@data@com.google.android.gms@app_chimera@m@0000008a@DynamiteModulesC.apk@classes.dex: Permission denied
12-23 13:03:22.361 13328-13328/? E/dex2oat: Failed to create oat file: /data/dalvik-cache/arm/data@data@com.google.android.gms@app_chimera@m@00000086@AdsDynamite.apk@classes.dex: Permission denied
12-23 13:03:26.303 13436-13467/my.app.package E/GrantPermissionCallable: Permission: android.permission.READ_EXTERNAL_STORAGE cannot be granted!

But this seems to happen only in my Redmi 4 with Android 6.0.1. But in a Samsung Galaxy Tab S with 6.0.1 it works, as well in some emulators...

What am I missing?