Buy and hold returns

[Rex Rutte]

Dear stata users,

I am wondering if you can help me with a problem. I have to make buy and hold returns for bank i and period s, starting from time t, computed as BHRi,t = (1+Ri,t+1)*(1+Ri,t+2)*...*(1+Ri,t+s)-1. I want to compute these BHRs from CRSP monthly holding period returns for all banks in my sample, and over the period july 2007 to december 2008. Thereby I have to normalize the BHR to zero in july 2007. So I keep one observation for the BHRs for each bank and each month. I put two banks (of the 18) in the data below for the illustration of my data:

permno date ticker comnam cusip ret rp1
10375 31jul2007 TCB T C F FINANCIAL CORP 87227510 -.106744573 .8932554
10375 31aug2007 TCB T C F FINANCIAL CORP 87227510 .02765353 1.027654
10375 28sep2007 TCB T C F FINANCIAL CORP 87227510 .036011074 1.036011
10375 31oct2007 TCB T C F FINANCIAL CORP 87227510 -.1209893 . 8790107
10375 30nov2007 TCB T C F FINANCIAL CORP 87227510 -.147562608 .8524374
10375 31dec2007 TCB T C F FINANCIAL CORP 87227510 -.076249331 .9237506
10375 31jan2008 TCB T C F FINANCIAL CORP 87227510 .199107617 1.199108
10375 29feb2008 TCB T C F FINANCIAL CORP 87227510 -.124235265 .8757647
10375 31mar2008 TCB T C F FINANCIAL CORP 87227510 -.037076868 .9629231
10375 30apr2008 TCB T C F FINANCIAL CORP 87227510 -.01506699 .984933
10375 30may2008 TCB T C F FINANCIAL CORP 87227510 -.050574664 .9494253
10375 30jun2008 TCB T C F FINANCIAL CORP 87227510 -.271791816 .7282082
10375 31jul2008 TCB T C F FINANCIAL CORP 87227510 .080631778 1.080632
10375 29aug2008 TCB T C F FINANCIAL CORP 87227510 .235294119 1.235294
10375 30sep2008 TCB T C F FINANCIAL CORP 87227510 .142857149 1.142857
10375 31oct2008 TCB T C F FINANCIAL CORP 87227510 -.000555568 .9994444
10375 28nov2008 TCB T C F FINANCIAL CORP 87227510 -.058624521 .9413755
10375 31dec2008 TCB T C F FINANCIAL CORP 87227510 -.182035968 . 817964
10825 31jul2007 TSFG SOUTH FINL GROUP INC 83784110 -.039752647 .9602473
10825 31aug2007 TSFG SOUTH FINL GROUP INC 83784110 .064471304 1.064471
10825 28sep2007 TSFG SOUTH FINL GROUP INC 83784110 -.00915037 .9908496
10825 31oct2007 TSFG SOUTH FINL GROUP INC 83784110 -.08355321 .9164468
10825 30nov2007 TSFG SOUTH FINL GROUP INC 83784110 -.132623419 .8673766
10825 31dec2007 TSFG SOUTH FINL GROUP INC 83784110 -.127790183 .8722098
10825 31jan2008 TSFG SOUTH FINL GROUP INC 83784110 .117722362 1.117722
10825 29feb2008 TSFG SOUTH FINL GROUP INC 83784110 -.164930567 .8350694
10825 31mar2008 TSFG SOUTH FINL GROUP INC 83784110 .029798985 1.029799
10825 30apr2008 TSFG SOUTH FINL GROUP INC 83784110 -.580753684 .4192463
10825 30may2008 TSFG SOUTH FINL GROUP INC 83784110 -.087748304 .9122517
10825 30jun2008 TSFG SOUTH FINL GROUP INC 83784110 -.288566262 .7114338
10825 31jul2008 TSFG SOUTH FINL GROUP INC 83784110 .540816367 1.540816
10825 29aug2008 TSFG SOUTH FINL GROUP INC 83784110 .127694845 1.127695
10825 30sep2008 TSFG SOUTH FINL GROUP INC 83784110 .077941135 1.077941
10825 31oct2008 TSFG SOUTH FINL GROUP INC 83784110 -.206002727 .7939973
10825 28nov2008 TSFG SOUTH FINL GROUP INC 83784110 -.256454349 .7435457
10825 31dec2008 TSFG SOUTH FINL GROUP INC 83784110 0 1

Ret means return and this variable i retrieved from crsp.
Then I made the following variable rp1 with the command: gen rp1 = ret +1 for calculating the compounded returns. Now I face the problem how I make for every bank each month the buy and hold return.

In the following links I read similar question, but not the answers I could solve my problem.
http://www.statalist.org/forums/foru...ounding-effect
http://www.statalist.org/forums/foru...annual-returns

Is there anyone how could help me out? A lot of thanks of me and my groupmates.

With kind regards,

Rex Rutte

[Clyde Schechter]

This is actually a fairly straightforward question, yet it has sat around for hours with no response. That is probably because you have posted your sample data in a form that is almost maximally unusable (a screen shot would have been even worse, but...). Run -ssc install dataex- to install the -dataex- command, and then run -help dataex- to get the simple instructions for its use. Then use it to re-post your data in a way that will be helpful to people who want to help you. I bet you'll get a quick response if you do that.