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st: Re: Calculating returns between 2 dates using 2 files


From   "Michael Blasnik" <michael.blasnik@verizon.net>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Calculating returns between 2 dates using 2 files
Date   Mon, 24 Apr 2006 18:46:42 -0400

I would use the first file to calculate a running cumulative return for each date and then merge that to each of the two dates in the other file. Something like:

use file1
gen cumreturn=sum(ln(1+return[_n-1]))
keep date cumreturn
sort date
save cumreturns

use file2
gen date=date1
sort date
merge date using cumreturns, nokeep
drop _merge
rename cumreturn cumreturn1
replace date=date2
sort date
merge date using cumreturns, nokeep
replace cumreturn=exp(cumreturn-cumreturn1)-1
drop cumreturn1 _merge

Michael Blasnik
michael.blasnik@verizon.net


----- Original Message ----- "Hugh Colaco" <hmjc66@gmail.com> wrote:

Hi Statalist,

I have 2 files; one with dates and returns on each date (i.e. File 1)
and the second, two given dates for each observation. The dates run
from 1990 to 2004.

I want to calculate "DateRet" (i.e. the return between the two dates
in file 2) for each obs. I have approx 1000 obs. Note from the example
that Date2 return is not considered (i.e. the last return considered
is the date prior to Date2).

Thanks,

Hugh
<snip>
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