st: Sorting data in deciles and then regressing and storing coefficients. (Looping)

["C. Evans" <ce306@cam.ac.uk>]

Dear Satalist   

I'm using Stata/SE 12.1

I am trying to create a new variable called BETA. It follows the 
computation of many financial papers. Amihud 2002 gives a good description 
of what I am trying to do.

Extract paraphrased from Amihud (2002)accessed here 
http://www.sciencedirect.com/science/article/pii/S1386418101000246 :

At the end of each year Y, stocks are ranked by their size and divided into 
ten equal portfolios. Next, the porfolio return R is calculated as the 
equally weighted average of stock returns in portfolio P on day T in year 
Y. Then, the market model is estimated for each portfolio P, P=1,2,....10

R= constant + BETA.RM + error  <- this is the Market Model (regression)

RM is the equally weighted market return and BETA is the slope coefficient. 

I will then save the BETA values and store them as a new variable.

Below is a sample of my data, the ID goes from 10006 to 93201 but with gaps 
inbetween. I am using daily stock data and therefore there are missing date 
values (such as weekends). The date goes from Jan 1964 to Dec 1997 (unless 
a stock has dropped out).

     ID       date      day    month  year   reurn        size       RM |
|-----------------------------------------------------------------------|
|  10006   02jan1964     2       1   1964   -.0120968     180565    0.01|
|  10006   03jan1964     3       1   1964    .0081633     182039    0.04|
|  10006   06jan1964     6       1   1964    .0121457     184250    0.02|
|  10006   07jan1964     7       1   1964        .022   188303.5    -0.1|
|  10006   08jan1964     8       1   1964    .0136986     190883    -0.3|
|-----------------------------------------------------------------------|
|  10006   09jan1964     9       1   1964     .003861     191620     0.7|
|  10006   10jan1964    10       1   1964   -.0192308     187935     0.8|
|  10006   13jan1964    13       1   1964    .0039216     188672       1|
|  10006   14jan1964    14       1   1964    .0136719   191251.5     0.1|
|  10006   15jan1964    15       1   1964    .0250482     196042   -0.02|
|-----------------------------------------------------------------------|
|  10006   16jan1964    16       1   1964   -.0150376     193094    -0.6|
|  10006   17jan1964    17       1   1964   -.0038168     192357     0.1|
|  10006   20jan1964    20       1   1964   -.0114943     190146    0 .4|
|  10006   21jan1964    21       1   1964    -.003876     189409     0.6|
|  10006   22jan1964    22       1   1964    .0233463     193831     1.2|
|-----------------------------------------------------------------------|

In the same dataset I have also created a date variable called date2 and a 
variable labelled lastdate which is the last date in that year. I was 
thinking this may help in solving my problem.

    +---------------------------------------+
    | permno        date   date2   lastdate |
    |---------------------------------------|
 1. |  10006   02jan1964    1462       1826 |
 2. |  10006   03jan1964    1463       1826 |
 3. |  10006   06jan1964    1466       1826 |
 4. |  10006   07jan1964    1467       1826 |
 5. |  10006   08jan1964    1468       1826 |
    |---------------------------------------|
 6. |  10006   09jan1964    1469       1826 |
 7. |  10006   10jan1964    1470       1826 |
 8. |  10006   13jan1964    1473       1826 |
 9. |  10006   14jan1964    1474       1826 |
10. |  10006   15jan1964    1475       1826 |

I have been reading about -xtile- and about looping. I have managed to sort 
by -size- and create a variable labelled -portfolio- that uses the -xtile- 
function. I have never looped before but have read that -foreach- or 
-forval- might be useful.

I welcome all suggestions or queries into more information.

Thanks for your consideration,
Chris

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