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st: RE: generating annualized standard deviation of returns from monthly data.


From   Kieran McCaul <kieran.mccaul@uwa.edu.au>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: generating annualized standard deviation of returns from monthly data.
Date   Thu, 27 Feb 2014 12:23:54 +0800

...

Like this?

clear *

input firm str7 date return
1  "Jan2000"  0.875
1  "Feb2000"  1.2
1  "Mar2000"  0.9
1  "Jan2001"  0.35
1  "Feb2001"  0.98
2  "Jan2000"  1.4
2  "Feb2000"   .76
2  "Mar2000"  1.34
end

gen year = substr(date, 4,.)

preserve
   
   collapse (sd) sd_return=return, by(firm year)
   tempfile ttt
   save `ttt', replace
   
restore

merge m:1 firm year using `ttt'
list
bysort firm year: summ return





-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Ikechukwu M.
Sent: Thursday, 27 February 2014 9:33 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: generating annualized standard deviation of returns from monthly data.

I am trying to compute standard deviation of returns for a panel data set and I am having a little difficulty.

My data looks like this

Firm    date                 return
1         Jan2000              0.875
1         Feb2000              1.2
1        Mar2000               0.9
1        Jan2001               0.35
1        Feb2001               0.98
2        Jan2000                1.4
2        Feb2000                .76
2        Mar2000                1.34


I would like to compute the annualized standard deviation of returns for each firm and return one number for each firm in each year.

Any help is greatly appreciated.
Thank you very much.

IK
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