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st: how to merge three dataset to facilitate subsequent calculation
From
李 梦佳 <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: how to merge three dataset to facilitate subsequent calculation
Date
Tue, 16 Apr 2013 12:46:18 +0800
Dear statalist,
I want to replicate Huang, Sialm, Zhang (JF, 2012) to use" risk shifting" to measure mutual fund's risk taking. To start with, I need to calculate the holdings return (RHf,t)of mutual fund and its volatility (sigma). As the authors point out, it's easier to first calculate the holdings return of the past 36 months and then use these values to reach the sigma. For each fund i at each month t in the past 36 month:
RH i,t= si * Rstockt + b1*Rbondt + ci*Rcasht
= si * sum(Rstockj,t * pj,t) + b1*Rbondt + ci*Rcasht
I've collected the data needed in calculation but they exist in 3 different files whose structures are like the following:
(1) Asset composition file: (where si+bi+ci=100%)
Fund |stock% |bond% |cash% | Time
-------------+--------------------------------------------------------
Fund001 s1 b1 c1 200506
⋯⋯
Fund299 s299 b299 c299 200506
Fund001 s1 b1 c1 200512
⋯⋯
Fund299 s299 b299 c299 200512
⋯⋯
Fund001 s1 b1 c1 201012
⋯⋯
Fund299 s299 b299 c299 201012
(2) Stock Holding file: (where for each Fund at each time, sum of the second column equals 100%)
Fund |stockholding |%of all stock |Time
-------------+--------------------------------------------------------------
Fund001 stock001 0.3 200506
⋯⋯
Fund001 stock050 1.8 200506
⋯⋯
Fund299 200506
⋯⋯
Fund001 stock001 2.5 201012
⋯⋯
Fund001 stock095 0.7 201012
⋯⋯
Fund299 201012
(3) Stock Return File:
stock |Month |Return
-------------+--------------------------
stock001 2002-01 r1
stock001 2002-02 r2
⋯⋯
stock001 2010-12 r108
⋯⋯
stocknnn 2010-12 rnnn
How can I "merge" (probably not appropriate term here) these 3 data set to calculate the RH and its volatility (sigma) using the RHs of past 36 month?
Many thanks and best regards,
Mengjia
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