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st: Creating quantile portfolios based on multiple values


From   "Daniel Brodback" <schmani@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Creating quantile portfolios based on multiple values
Date   Sat, 04 Aug 2012 18:10:31 +0200

Dear all,

for my analysis I am trying to create portfolios based on more than 1 value.
I want to test whether one can generate abnormal returns by combining value measures such as price/earnings and e.g. market/book ratios.

To get the single portfolio rankings, I am using the following command:
egen portfolio_pe = xtile(pe), nquantiles(10) by(date)

This works without a problem and generates a new variable that indicates the position of each company in my portfolio.

However, if I try to do something like:
egen portfolio_new = xtile(portfolio_mom portfolio_pe), nquantiles(10) by(date)

I get: too many variables specified
r(103);

Xtile seems to accept only one variable. Is there a way I can obtain portfolio decile/quantile ranks for more than one variable?

I would appreciate your thoughts on my problem.

Best,
Daniel
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