Cumulative Returns Lagged

[Chiara Di Leone]

Hi all,

I need to calculate the monthly (and weekly) cumulative returns per firm. I need the rolling returns for the previous 12 months excluding the most recent month.

Anyone who's good at this and/or done this before?

Data is from CRSP

[Simon Vasquez]

Chiara,

maybe this is helpful:

http://www.statalist.org/forums/foru...a-with-rollreg