I have a model which need a complex code. The model is as follow:
weekly firm i return = a+ B1 weekly market return+B2 last week market return+B3 industry return+B4 last week industry return+e.
I have the weekly market return and the weekly firm return. I need to calculate the weekly industry return which is the weighted average return for all the firm with the same industry excluding firm i return ( the weight is based on market value, and I have the weekly market value for each firm) . Another condition on the regression is that any firm that traded less than 45 weeks(meaning if it has 0 return for more 7 weeks) should be excluded from the regression. I need to use the resulted R2 from the previous regression and transform it to what we called stock price synchronicity which is the part of stock return that cannot be explained by market return and industry return. So SYNCH for firm i in year t = Log(R2/1-R2).
Any suggestions please
weekly firm i return = a+ B1 weekly market return+B2 last week market return+B3 industry return+B4 last week industry return+e.
I have the weekly market return and the weekly firm return. I need to calculate the weekly industry return which is the weighted average return for all the firm with the same industry excluding firm i return ( the weight is based on market value, and I have the weekly market value for each firm) . Another condition on the regression is that any firm that traded less than 45 weeks(meaning if it has 0 return for more 7 weeks) should be excluded from the regression. I need to use the resulted R2 from the previous regression and transform it to what we called stock price synchronicity which is the part of stock return that cannot be explained by market return and industry return. So SYNCH for firm i in year t = Log(R2/1-R2).
Any suggestions please
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