volatility of the firm's equity(annualized standard deviation) and Annualized drift rate (expected rate of return of the firm's assets)

[Mouldi Ben Ammar]

Dear All,

Hope my msg finds you very well.

I have a panel data 252 observations (daily ) for each company of market data (id, date,prc,ret and shrout) noting that ret=(prc-l,prc)/l.prc and sometimes the price might be negative. please , how i can generate/ calculate an annualized standard deviation of equity and expected rate of return such as introduced by Merton's model after to keep only yearly observation by firm & year .
Please find below a data test .

Many thanks in advance

gvkey	date	prc	ret	shrout
1005	2-Jan-81	26.375	0.004762	906
1005	5-Jan-81	26.875	0.018957	906
1005	6-Jan-81	26	-0.03256	906
1005	7-Jan-81	23.875	-0.08173	906
1005	8-Jan-81	22.875	-0.04188	906
1005	9-Jan-81	22.5	-0.01639	906
1005	12-Jan-81	22.5	0	906
1005	13-Jan-81	22.375	-0.00556	906
1005	14-Jan-81	22.25	-0.00559	906
1005	15-Jan-81	23.5	0.05618	906
1005	16-Jan-81	25	0.06383	906
1005	19-Jan-81	24.625	-0.015	906
1005	20-Jan-81	24.25	-0.01523	906
1005	21-Jan-81	24.375	0.005155	906
1005	22-Jan-81	24.625	0.010256	906
1005	23-Jan-81	24.75	0.005076	906
1005	26-Jan-81	24.125	-0.02525	906
1005	27-Jan-81	24.125	0	906
1005	28-Jan-81	24	-0.00518	906
1005	29-Jan-81	23.75	-0.01042	906
1005	30-Jan-81	24	0.010526	906
1005	2-Feb-81	17.875	-0.06901	1133
1005	3-Feb-81	18.75	0.048951	1133
1005	4-Feb-81	19.375	0.033333	1133
1005	5-Feb-81	19.75	0.019355	1133
1005	6-Feb-81	18.625	-0.05696	1133

[Phil Bromiley]

You'll increase your chances of a helpful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex. Also, remember that most of us are not from your area, so we don't necessarily know Merton's model.

If you don't have multiple years data, then I'm not sure how you could calculate anything by the year. I suppose you could use the daily data to calculate daily parameters and then use elementary probability theory to estimate the aggregate, but I'm not sure this is legit.