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Re: st: Calculating past 3-month stock return with data where weekends are not included.


From   Robert Carion <r.carion@skynet.be>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Calculating past 3-month stock return with data where weekends are not included.
Date   Tue, 29 Oct 2013 13:14:09 +0200

Thank you Sergiy

Let me go through all of that and try to come up with something.

Best Regards

Robert Carion
r.carion@skynet.be





On 28 Oct 2013, at 17:18, Sergiy Radyakin <serjradyakin@gmail.com> wrote:

> Robert,
> 
> from your description I see the problem is the trades do not happen
> every day. Assume first that they do. Write a program to compute the
> desired result based on that. Later we can then adjust it for the case
> of missing days. Note also that Stata now has the business calendar
> feature, which is intended for exactly this kind of questions (periods
> when an event could not occur):
> http://www.stata.com/features/overview/business-calendars/
> Quote: "Have you ever wished that when you referred to the lag of
> trading date, you got the previous trading date rather than
> yesterday’s?"
> 
> Best, Sergiy Radyakin
> 
> On Sun, Oct 27, 2013 at 1:50 PM, Robert Carion <r.carion@skynet.be> wrote:
>> Hello Everyone
>> 
>> I am using Stata 12 for mac
>> 
>> I would need help calculating the past 3-month stock return for data where weekends are not included in the dataset, in other words only trading days are included.
>> 
>> To make sure I'm understood properly, my data has the following DATE structure as an example:
>> 
>> DATE                            STOCK PRICE
>> Monday 28 Oct           XXX
>> Tuesdays 29 Oct XXX
>> Wednesday 30 Oct        XXX
>> Thursday 31 Oct XXX
>> Friday 1 Nov            XXX
>> Monday 4 Nov            XXX
>> etc
>> etc
>> 
>> Sorry if this should be easy to find but I couldn't find useful on Google.
>> 
>> Thanks
>> 
>> Robert Carion
>> r.carion@skynet.be
>> 
>> 
>> 
>> 
>> 
>> 
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