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st: Group building according to given report dates and company


From   "Hua Pan" <panhua@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Group building according to given report dates and company
Date   Fri, 20 Mar 2009 13:55:34 +0100

Dear Statalisters,

Now I have a big problem and have thought about it over and over again and can’t find the way to solve it. Maybe someone here has can help me.

I have two datasets, say A and B. A has permno (identify nr.), daily return and date. B has permno, repdate (report date). 
A
permno	   date             ret 
10001	01.Apr.2004	 .01793105
10001	02.Apr.2004	-.046070479
10001	05.Apr.2004	 .022727251
10001	06.Apr.2004	-.005555551
10001	07.Apr.2004	 .016759828
…    	…		    …
10001   31.Dec.2008         …

10002	01.Apr.2004	.018296152
10002  	02.Apr.2004	.010668194
…	     …              …
10002	31.Dec.2008	     …

10003   01.Apr.2004          …
…	    …		      …	
93105       …                 …

B:
Permno    repdate          
10001  	  21.Apr.2004
10001     20.July.2004
10001     26.Oct.2004
10001     03.Feb.2005
          04.May.2005
…             …
10002     23.Apr.2004
10002     22.July.2004
…              …
93105         …
…
I wish to calculate cumulative daily return for each company and for each period, from the next two days after the report day to the day before next report day e.g. for permno 10001, I want to calculate the cumulative return  for periods: (21.Apr.2004 +2= 23.Apr.2004, 20.July.2004 -1=19.Juli.2004), (22.July.2004, 25.Oct.2004), (28.Oct.2004, 02.Feb.2005)……for permno 10002, from 23.Apr.2004+2+1=26.Apr.2004 (because 25.Apr.2004 is Sunday, so I have to plus one day), to 21.July.2004……
(cumulative return for each day within period are to be calculated, almost 60 for each period)

At first I tried to get dataset A and B together with merge, but not successful.
use "C:\A.dta", clear
sort permno date
save "C:\A.dta", replace
use "C:\B.dta", clear
sort permno repdate
merge permno using "C:\A.dta"
keep if _merge == 3
drop _merge
save "C:\AB.dta”

Many of date and returns of A are deleted. Maybe I should try joinby, or just change A as Master Data? How can I put them orderly together? 

Then I wish that I can build several groups according to the permno and report date: 
group1: permno 10001 with daily return from 23.Apr.2004 to 19.Juli.2004 
group2: permno 10001 with daily return from 22.July.2004 to 25.Oct.2004
group3: permno 10001 with daily return from 28.Oct.2004 to 02.Feb.2005
….
group n: permno 10002 with daily return from 26.Apr.2004 to 21.July.2004
…..
group m: permno 93105 with…..

After I drop the Observations that don’t belong to any group, I can calculate cumulative return for each group, (thank Austin again for this code)

bys group: g cumul=1+ret if _n==1
replace cumul=(1+ret)*l.cumul if mi(cumul)
replace cumul=cumul-1
 
Finally I drop the group with missing value and calculate the mean cumulative return for those that have the same group number
by group, sort: generate nr=_n
by nr, sort: egen mean_cumul=mean(cumul)

So the question is how can I put two dataset together and then put the observations into groups according to permno and report date and pay attention that the period begins and ends with work day. When I solve this problem, then I can calculate the mean cumulative return. 
Any suggestion would be greatly appreciated. Thank you very much.

Best Regards

Hua

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