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| From | Edward Crawley <edward.crwly@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Cumulative Return Calculation for Recurring Periods |
| Date | Wed, 19 Jun 2013 21:28:59 +0100 |
Exactly what I wanted, thank you!! On Wed, Jun 19, 2013 at 8:03 PM, Richard Herron <richard.c.herron@gmail.com> wrote: > This generates rolling three-month returns. > > *** > clear > set obs 30 > generate i = int((_n - 1) / 10) + 1 > generate t = mod((_n - 1), 10) + 1 > generate r = 0.0 + (0.00 + 0.10) * runiform() > xtset i t > > generate sumlogr = sum(ln(1 + r)) > generate r3 = exp(s3.sumlogr) - 1 > *** > > If you use -xtset- then you can use -s.-, which is seasonal > difference, here three months. This approach "throws away" the first > month's return, but codes/computes quickly. > > On Wed, Jun 19, 2013 at 2:27 PM, Edward Crawley <edward.crwly@gmail.com> wrote: >> Dear listers, >> >> I am trying to calculate cumulative returns for recurring periods in >> my panel dataset; >> >> date company return >> 2001m1 1 . >> 2001m2 1 .14425 >> 2001m3 1 -.215709 >> 2001m4 1 -.160343 >> 2001m5 1 .390866 >> 2001m6 1 -.014815 >> 2001m1 2 . >> 2001m2 2 .315081 >> 2001m3 2 -.392042 >> 2001m4 2 -.127833 >> 2001m5 2 .646627 >> 2001m6 2 .133531 >> 2001m1 3 . >> 2001m2 3 .184734 >> 2001m3 3 -.036814 >> 2001m4 3 -.29605 >> 2001m5 3 .457318 >> 2001m6 3 -.060292 >> . >> . >> . >> . >> >> For instance, for each firm, I need to calculate cumulative returns >> for recurring 3 periods ( e.g. from 2001m1 to 2001m4 and from 2001m2 >> to 2001m5 and ... etc.). >> >> I used the following code, but it didn't give the desired result; >> >> bys company (date): g c=sum(ln(return+1)) >> replace c=exp(c)-1 >> rename c cumreturn >> >> I appreciate any help, >> >> Best regards, >> >> Edward >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/faqs/resources/statalist-faq/ >> * http://www.ats.ucla.edu/stat/stata/ > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/