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From | Erik Paas <noviral@gmail.com> |
To | Stata list <statalist@hsphsun2.harvard.edu> |
Subject | st: panel data analysis |
Date | Tue, 3 Jan 2012 14:13:43 +0100 |
I have 269 companies (tickers), their weekly stock returns, weekly volume and another hopefully related variable (an index named variable_x). Aim is to investigate whether variable_x has any predictive power on returns and/or volume. How should I proceed using Stata? Example of data: Ticker return_week volume_week variable_x date AAPL 0.0544 9934332 20 15jan2005 AAPL 0.0223 3432432 18 22jan2005 MSFT 0.0212 7556665 80 15jan2005 MSFT 0.0334 23444444 78 22jan2005 PEP -0.0221 55665555 56 15jan2005 PEP 0.0865 1223322 89 22jan2005 Furthermore I would like to add the S&P500 weekly returns as another variable. Calculate excess return over the market (company return - S&P500 return) Then test whether highest growers of variable_x also earn highest excess returns. Erik * * 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/