Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: calculating value weighted portfolio returns
From
[email protected]
To
[email protected]
Subject
st: calculating value weighted portfolio returns
Date
Mon, 21 Feb 2011 03:22:48 +0200 (EET)
Hello,
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
appreciated.
Thank you.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/