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st: Monthly returns compounded annually for various companies
From
Alexander Vogt <[email protected]>
To
[email protected]
Subject
st: Monthly returns compounded annually for various companies
Date
Tue, 22 Feb 2011 17:59:17 +0100
Hello,
I'm stuck with the following problem:
I'd like to compound annual returns for various companies using monthly return data from CRSP.
Here is a snippet from the data (12 months for each comp_cd) the compounded rates should be stored in return_cum):
comp_cd year month return ret_1 return_cum
14234 1992 1 .0133 1.0133
14234 1992 2 -.0235 0.9765
(...)
14235 1993 1 .0432 1.0432
14235 1993 2 -.0324 0.9676
(...)
So far, I've tried the following command (and experimented with foreach), but my output doesn't make too much sense:
by comp_cd (year): gen return_cum = exp(sum(log(ret_1)))
It would be great, if anyone could help me out!
Many thanks,
Alex
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