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st: stata and portfolios

From   qing ye <[email protected]>
To   [email protected]
Subject   st: stata and portfolios
Date   Sat, 14 Nov 2009 12:08:05 +0000

Deal all,

I am wondering whether I can write code in stata to do portfolios analysis.

By portfolio analysis, I mean

1.  I want to sort stocks based on some criteria (e.g. market
capitalization) on some dates (e.g. every month over the sample
2. construct serval portfolios based on the ranking of this variable (
top 10%, 20%, bottom 10% etc).
3. calculate the return and summary statistics for each portfolio.
4. maybe run some regression (e.g. CAPM) using the portfolio returns etc
5. get the results reported out

Can stata do such analysis? where I can get more information on how to
write such code, is there any template code that I can study on?

Thanks for your help!
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