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

[Jeph Herrin <stata@spandrel.net>]

It's not really clear what you are doing here.

Do you want one regression per portfolio, per year? IN that case, the first step would be -collapse- or otherwise 
restructure your dataset to have one record per stock for each year-portfolio; it's not critical to do this, but it will 
make things much easier.

Or do you intend a different regression for each day of the year?

Is the variable -reurn- (sic) the same as -R-, the portfolio return, or do you need to create that as well?

J




On 7/8/2013 11:14 AM, C. Evans wrote:
> 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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