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st: Time Series Operators and monthly returns after collapse


From   "Daniel Brodback" <schmani@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Time Series Operators and monthly returns after collapse
Date   Wed, 22 Aug 2012 18:33:14 +0200

Dear all,

just a quick question because I got quite a bit confused in my analsis with time series operators and monthly returns. I am ranking stocks based on their prior 6 month return and then invest for an additional 6 months.

I generate the log-return of the previous 6 month with the following command: generate lret6 = ln(price / l6.price)

Later, I collapse in a foreach-loop:
collapse (mean) f6.lret6, by(date `var')

in order to obtain the mean return of my panel.

Now my question: Do I now have the 6month-return or rather the 1 month return? So far I assumed this would be the 6 month return and hence divided by 6 in order to obtain a monthly return. But after I rethought my code I am not sure whether this was the right thing to do.

Any input to get me back on the right track is highly appreciated.

Thanks,
Daniel
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