Hey guys,
We need to rebuild the paper "betting against beta" of A. Frazzini and L.H. Pedersen. We got our data from Thomson Reuters for about 500 US stocks depending equity and use the MSCI USA index as benchmark.
We need to form portfolios with the stocks. At the beginning of each calender month, all stocks are assigned to one of two portfolios: low beta and high beta. The low (high-) beta portfolio i composed of all stocks with a beta below (above) it's country median. Stocks are weighted by the raqnked betas and the portfolios are rebalanced every calender month. Both portfolios are rescaled to have a beta of one at portfolio formation.
Our next step is to calculate the beta of each stock. We have data from 31.12.1991 to 31.12.2016.
Can someone tell us how to calculate the beta over time for each stock? And also, does someone know how to rebalance these portfolios every calender month?
We are beginners with stata, so you would help us a lot!!!
Thanks in advance!
We need to rebuild the paper "betting against beta" of A. Frazzini and L.H. Pedersen. We got our data from Thomson Reuters for about 500 US stocks depending equity and use the MSCI USA index as benchmark.
We need to form portfolios with the stocks. At the beginning of each calender month, all stocks are assigned to one of two portfolios: low beta and high beta. The low (high-) beta portfolio i composed of all stocks with a beta below (above) it's country median. Stocks are weighted by the raqnked betas and the portfolios are rebalanced every calender month. Both portfolios are rescaled to have a beta of one at portfolio formation.
Our next step is to calculate the beta of each stock. We have data from 31.12.1991 to 31.12.2016.
Can someone tell us how to calculate the beta over time for each stock? And also, does someone know how to rebalance these portfolios every calender month?
We are beginners with stata, so you would help us a lot!!!
Thanks in advance!
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