Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Creating quantile portfolios based on multiple values

From   "Daniel Brodback" <>
Subject   st: Creating quantile portfolios based on multiple values
Date   Sat, 04 Aug 2012 18:10:31 +0200

Dear all,

for my analysis I am trying to create portfolios based on more than 1 value.
I want to test whether one can generate abnormal returns by combining value measures such as price/earnings and e.g. market/book ratios.

To get the single portfolio rankings, I am using the following command:
egen portfolio_pe = xtile(pe), nquantiles(10) by(date)

This works without a problem and generates a new variable that indicates the position of each company in my portfolio.

However, if I try to do something like:
egen portfolio_new = xtile(portfolio_mom portfolio_pe), nquantiles(10) by(date)

I get: too many variables specified

Xtile seems to accept only one variable. Is there a way I can obtain portfolio decile/quantile ranks for more than one variable?

I would appreciate your thoughts on my problem.

*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index