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st: using invnorm uniform to normalize my liquidity measure


From   Yori van der Kruijs <yorivdkruijs@hotmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: using invnorm uniform to normalize my liquidity measure
Date   Tue, 21 May 2013 10:17:04 +0000

Thanks for your response Mr. Cox!

First of all, excuse me for not providing all the necessary information.
I've read the FAQ but did not see that.

Summary of my variables:

permno - unique company id
date - full date (i.e. 20jan2002)
dm - month and year (i.e. 2001m1)
dy - year (i.e. 2002)


The formulas you gave:

   bysort permno dm: egen double ret_div_vol=total(abs(ret/vol))
   bysort permno dm: gen double illiq=1e6 * ret_div_vol / validobs

Give the same results as mine, so I don't think the 'double' function was necessary here.
There is no problem there.
However, when i try to normalize my illiq measure, by using the 'rnormal(m,s)' formula, using this code:
   bysort permno dm: gen normliq=rnormal(0.25, 0.30*illiq)
I still obtain different values for each observation for a specific firm within the same month, while my illiq value is measured monthly, so does not change within the month.
Shouldn't the normalized liquidity measure be stable within the month aswell then?

I hope I've stated my problem clearly!
Thank you very much for the help.

Yori van der Kruijs 		 	   		  
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