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| From | "Peter Miller" <peter_miller@gmx.ch> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: I have daily returns and a panel: How to calculate annual returns? |
| Date | Mon, 3 Feb 2014 11:05:16 +0100 (CET) |
What I want to do?
I want to calculate the raw return of all my firms in the sample.
- for the first year
- second year
- third year
- up to three years
How does my data look like?
Return Time Identifier
0 0 7.796e+08
.007751938 2 7.796e+08
.003846154 3 7.796e+08
-.011494253 6 7.796e+08
-.023255814 7 7.796e+08
0 8 7.796e+08
.023809524 9 7.796e+08
0 10 7.796e+08
....
. 1074 7.796e+08 << Day 1074: Three-year period ends here
-.025806451 0 7.802e+08 << New firm
-.006622517 2 7.802e+08
.026666667 3 7.802e+08
-.032467533 6 7.802e+08
....
- The time variable are basically days. However, for some days (e.g. weekends), there are no daily returns available. That's why there are missing values.
- In the best case scenario, all firms have returns for 3 years (1095 days). However, there are firms with less available return data (e.g. only 723 days).
- The identifier "identifies" each firm uniquely in the dataset.
What have I done so far?
tsset Identifier Time
xtset Identifier Time
and I got:
tsset Identifier Time
panel variable: Identifier (unbalanced)
time variable: Time, 0 to 1095, but with gaps
delta: 1 unit
xtset Identifier Time
panel variable: Identifier (unbalanced)
time variable: Time, 0 to 1095, but with gaps
delta: 1 unit
Does anyone know how to proceed further with the return calculation? Basically, the result should look like (Example):
Period Sample Size Raw Return
First year 502 10%
Second year 470 9.8%
Third year 432 11.3%
Up to three years 502 35%
Thank you.
Peter
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