Cumulative Returns

[Alysson Francisco]

I want to calculate the cumulative return by firm between the financial statements announcement dates. I have a lot of fims in my sample and, consequently, the period of time to acccumulate the return by firm is not the same for every year.


Following is a example:

[CODE]
* Example generated by -dataex-. To install: ssc install dataex
clear
input str10 nome long data float ln_ibrx
"" 20100201 .01548551
"Abc Brasil" 20100202 .00705269
"" 20100203 .0001464721
"" 20100204 -.04550696
"" 20100205 -.01955403
"" 20100208 .004655741
"" 20100209 .02371751
"" 20100210 .006023053
"" 20100211 .016052654
"" 20100212 -.003114336
"" 20100217 .02038598
"" 20100218 .00727148
"" 20100219 -.005275429
"" 20100222 -.006198696
"" 20100223 -.016333384
"" 20100224 -.003820685
"" 20100225 .0040268195
"" 20100226 .006304397
"" 20100301 .009415252
"" 20100302 .008277865
"" 20100303 -.00021809617
"" 20100304 .0007261788
"" 20100305 .01386975
"" 20100308 -.003013507
"" 20100309 .013404242
"" 20100310 .004963253
"" 20100311 -.0007461697
"" 20100312 -.007209466
"" 20100315 -.0033224404
"" 20100316 .012256977
"" 20100317 -.0029464085
"" 20100318 -.0022450543
"" 20100319 -.012158155
"" 20100322 .003812366
"" 20100323 .0020866748
"" 20100324 -.005988625
"" 20100325 -.006032603
"" 20100326 .003402446
"" 20100329 .015020214
"" 20100330 .0014771627
"" 20100331 .005985625
"" 20100401 .009914588
"" 20100405 .0027167536
"" 20100406 -.002006077
"" 20100407 -.002676853
"" 20100408 .01382804
"" 20100409 -.0041837064
"" 20100412 -.012646815
"" 20100413 .000733122
"" 20100414 .004613341
"" 20100415 -.006150903
"" 20100416 -.016944056
"" 20100419 -.003032876
"" 20100420 .004777521
"" 20100422 -.0014182093
"" 20100423 .0019531797
"" 20100426 -.01000712
"" 20100427 -.03305437
"" 20100428 .002449677
"" 20100429 .01878552
"" 20100430 -.005397597
"" 20100503 -.01127605
"" 20100504 -.032742087
"" 20100505 .0013825204
"" 20100506 -.016514722
"" 20100507 -.006785458
"" 20100510 .035572793
"" 20100511 -.013882626
"" 20100512 .008974887
"" 20100513 -.005965644
"" 20100514 -.0173465
"" 20100517 -.00612283
"" 20100518 -.027640853
"" 20100519 -.022546556
"" 20100520 -.02758209
"" 20100521 .033052858
"" 20100524 -.006249474
"" 20100525 -.01370723
"" 20100526 .014763827
"" 20100527 .03069436
"" 20100528 -.000640342
"" 20100531 .02284885
"" 20100601 -.02089637
"" 20100602 .017413381
"" 20100604 -.017219875
"" 20100607 -.009332366
"" 20100608 .008888113
"" 20100609 -.003712368
"" 20100610 .02094485
"" 20100611 .006109496
"" 20100614 -.004905867
"" 20100615 .013494988
"" 20100616 .005618304
"" 20100617 -.005128673
"" 20100618 -.000768185
"" 20100621 .008011871
"" 20100622 -.0036776084
"" 20100623 .0029862004
"" 20100624 -.02094062
"" 20100625 .013294999
"" 20100628 -.009104714
"" 20100629 -.0335708
"" 20100630 -.015748825
"" 20100701 .007958519
"" 20100702 .0039872653
"" 20100705 -.010612687
"" 20100706 .019826684
"" 20100707 .021015666
"" 20100708 .0049824
"" 20100712 -.007566669
"" 20100713 .00863789
"" 20100714 -.003565341
"" 20100715 -.00150469
"" 20100716 -.017092796
"" 20100719 .015384973
"" 20100720 .02057713
"" 20100721 -.0007529311
"" 20100722 .019029206
"" 20100723 .006535316
"" 20100726 .0013774858
"" 20100727 .001415894
"" 20100728 .006692177
"" 20100729 .00014010674
"" 20100730 .00787013
"" 20100802 .014973422
"" 20100803 -.006256967
"" 20100804 .0023233653
"" 20100805 .002020768
"" 20100806 -.003468551
"" 20100809 -.0021526173
"" 20100810 -.009014559
"" 20100811 -.022313116
"" 20100812 .004086641
"" 20100813 .0020864026
"" 20100816 .006851395
"" 20100817 .011116253
"" 20100818 -.00016024637
"" 20100819 -.01186261
"" 20100820 -.0028360414
"" 20100823 -.009893546
"" 20100824 -.01411115
"" 20100825 -.004996696
"" 20100826 -.013577537
"" 20100827 .027103774
"" 20100830 -.019649027
"" 20100831 .015309188
"" 20100901 .028026974
"" 20100902 -.006133024
"" 20100903 .0016789836
"" 20100906 .0005189099
"" 20100908 -.007422655
"" 20100909 .00010490756
"" 20100910 .0009076163
"" 20100913 .02032647
"" 20100914 -.005429443
"" 20100915 .005314962
"" 20100916 -.005544237
"" 20100917 -.007041194
"" 20100920 .015034274
"" 20100921 -.00868786
"" 20100922 .00631487
"" 20100923 .007464138
"" 20100924 -.006063567
"" 20100927 .010048976
"" 20100928 .005771614
"" 20100929 .008220281
"" 20100930 .003618965
"" 20101001 .010296718
"" 20101004 .0018589023
"" 20101005 .011253995
"" 20101006 -.010784387
"" 20101007 -.00805176
"" 20101008 .014244474
"" 20101011 .0010978605
"" 20101013 .008577881
"" 20101014 .00035574575
"" 20101015 .000641801
"" 20101018 .0010924251
"" 20101019 -.02450944
"" 20101020 .007058336
"" 20101021 -.011369086
"" 20101022 -.00005070722
"" 20101025 .005682364
"" 20101026 .016184792
"" 20101027 -.006184341
"" 20101028 -.00470528
"" 20101029 .0039427057
"" 20101101 .01433982
"" 20101103 .005397615
"" 20101104 .017578855
"" 20101105 -.0037653735
"" 20101108 .003402399
"" 20101109 -.013610138
"" 20101110 .0008781021
"" 20101111 -.009770552
"" 20101112 -.011594182
"" 20101116 -.016379397
"" 20101117 .004566566
"" 20101118 .015523665
"" 20101119 .002820933
"" 20101122 -.016186694
"" 20101123 -.021786403
"" 20101124 .021388015
"" 20101125 -.005042261
"" 20101126 -.012642575
"" 20101129 -.002939787
"" 20101130 -.005336011
"" 20101201 .022935146
"" 20101202 .003865587
"" 20101203 .0013483926
"" 20101206 -.003162241
"" 20101207 -.005248783
"" 20101208 -.012739833
"" 20101209 -.0019543061
"" 20101210 .006061327
"" 20101213 .01158293
"" 20101214 -.002892187
"" 20101215 -.01075413
"" 20101216 -.005435814
"" 20101217 .009464212
"" 20101220 -.010591313
"" 20101221 .01274356
"" 20101222 .005222335
"" 20101223 .0003664169
"" 20101227 -.00958547
"" 20101228 .0038079156
"" 20101229 .012289995
"" 20101230 .00676217
"" 20110103 .008869023
"" 20110104 .005176521
"" 20110105 .0116679
"" 20110106 -.009220785
"" 20110107 -.010193605
"" 20110110 .0024144156
"" 20110111 .00534316
"" 20110112 .01704833
"" 20110113 -.013811623
"" 20110114 .004501189
"" 20110117 -.003573543
"" 20110118 .0024245975
"" 20110119 -.01307254
"" 20110120 -.008626674
"" 20110121 -.004774143
"" 20110124 .005646552
"" 20110126 -.008166654
"" 20110127 -.006678906
"" 20110128 -.019311316
"" 20110131 -.0012330292
"" 20110201 .016086698
"" 20110202 -.01171
"" 20110203 .00012292537
"" 20110204 -.02119798
"" 20110207 .0021387152
"" 20110208 .004536287
"" 20110209 -.024097
"" 20110210 .0044298763
"Abc Brasil" 20110211 .018408349
"" 20110214 .011915598
"" 20110215 .002592566
"" 20110216 .017083665

I just include one firm to give an example. I want the cumulative return (ln_ibrx) between 20100202 to 20110211 for "Abc Brasil".

Does anyone have any idea about how to do this?

Thank you!

[Scott Merryman]

Is this what you looking for:

replace nome = nome[_n -1] if nome =="" & data <= 20110211
bys nome: gen cumulative_return = sum(ln_ibrx) if nome != ""

[Attaullah Shah]

You can download ascol from SSC and use it to find cumulative returns. This blog post presents several examples of how to do it. In that post, please pay attention to the method in which the returns were generated in the first step. The method used to find cumulative returns will depend on that first step.

General introduction to ascol with examples - Read here

Period cumulative returns with examples - Read here

[Alysson Francisco]

Thank you both for your responses!

I used the ascol command and solved my problem.

Great work Attaullah Shah.