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st: calculating value weighted portfolio returns

Subject   st: calculating value weighted portfolio returns
Date   Mon, 21 Feb 2011 03:22:48 +0200 (EET)


I have an unbalanced panel data. I have created 10 decile portfolios based
on my sorting variable and now I would like to calculate each portfolio's
equal and value weighted monthly returns. The time period is from June
1969 to June 2008. I have a list stocks, their monthly returns, market
capitalizations and the decile the belong to for each month. Basically I
have done fama french type portfolio sorts and now I am trying to see if
there is a significant value weighted or equal weighted return difference
among decile portfolios. Any help on how to do this with Stata, is greatly

Thank you.

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