Lagging a variable 2 years from data on daily stock prices

[Peter Ljungbeck]

Hello

I am trying to make an empirical study on the effect of dividend changes on future firm performance. I, therefore, want to regress dividend change on a measure of firm performance, in this case, it is Return on assets. I, however, need to run the regression using the return on assets in two years. My regression would like this:

reg roai2y divchange if divchange < -.20 & lastdayiy == 1| divchange > .25 & divchange < 5 & lastdayiy == 1

My problem is, therefore, how do I lag my return on assets variable 2 years when I have multiple firms each with a different number of trading days in a year over 20 years. My data looks like this:

* Example generated by -dataex-. To install: ssc install dataex
clear
input long datadate str88 conm double(cshoc prccd) float(divd divchange roai)
15160 "A.P. MOLLER - MAERSK A/S A" 372600 82000 . .3636364 .009597253
15161 "A.P. MOLLER - MAERSK A/S A" 372600 82500 . .3636364 .009597253
15162 "A.P. MOLLER - MAERSK A/S A" 372600 82500 . .3636364 .009597253
15165 "A.P. MOLLER - MAERSK A/S A" 372600 81500 . .3636364 .009597253
15166 "A.P. MOLLER - MAERSK A/S A" 372600 82500 . .3636364 .009597253
15167 "A.P. MOLLER - MAERSK A/S A" 372600 82500 . .3636364 .009597253
15168 "A.P. MOLLER - MAERSK A/S A" 372600 82500 . .3636364 .009597253
15169 "A.P. MOLLER - MAERSK A/S A" 372600 81500 . .3636364 .009597253
15172 "A.P. MOLLER - MAERSK A/S A" 372600 82000 . .3636364 .009597253
15174 "A.P. MOLLER - MAERSK A/S A" 372600 80000 . .3636364 .009597253
15175 "A.P. MOLLER - MAERSK A/S A" 372600 82000 . .3636364 .009597253
15176 "A.P. MOLLER - MAERSK A/S A" 372600 82500 . .3636364 .009597253
15180 "A.P. MOLLER - MAERSK A/S A" 372600 81500 . .3636364 .009597253
15181 "A.P. MOLLER - MAERSK A/S A" 372600 80000 . .3636364 .009597253
15182 "A.P. MOLLER - MAERSK A/S A" 372600 79000 . .3636364 .009597253
15183 "A.P. MOLLER - MAERSK A/S A" 372600 80000 . .3636364 .009597253
15186 "A.P. MOLLER - MAERSK A/S A" 372600 80000 . .3636364 .009597253
15187 "A.P. MOLLER - MAERSK A/S A" 372600 80500 . .3636364 .009597253
15188 "A.P. MOLLER - MAERSK A/S A" 372600 82000 . .3636364 .009597253
15189 "A.P. MOLLER - MAERSK A/S A" 372600 82000 . .3636364 .009597253
15190 "A.P. MOLLER - MAERSK A/S A" 372600 82000 . .3636364 .009597253
15193 "A.P. MOLLER - MAERSK A/S A" 372600 80000 . .3636364 .009597253
15196 "A.P. MOLLER - MAERSK A/S A" 372600 82000 . .3636364 .009597253
15197 "A.P. MOLLER - MAERSK A/S A" 372600 82000 . .3636364 .009597253
15200 "A.P. MOLLER - MAERSK A/S A" 372600 83000 . .3636364 .009597253
15201 "A.P. MOLLER - MAERSK A/S A" 372600 82500 . .3636364 .009597253
15202 "A.P. MOLLER - MAERSK A/S A" 372600 82500 . .3636364 .009597253
15207 "A.P. MOLLER - MAERSK A/S A" 372600 80000 . .3636364 .009597253
15208 "A.P. MOLLER - MAERSK A/S A" 372600 79500 . .3636364 .009597253
15214 "A.P. MOLLER - MAERSK A/S A" 372600 82000 . .3636364 .009597253
15215 "A.P. MOLLER - MAERSK A/S A" 372600 77500 . .3636364 .009597253
15216 "A.P. MOLLER - MAERSK A/S A" 372600 74000 . .3636364 .009597253
15217 "A.P. MOLLER - MAERSK A/S A" 372600 73200 . .3636364 .009597253
15218 "A.P. MOLLER - MAERSK A/S A" 372600 75500 . .3636364 .009597253
15221 "A.P. MOLLER - MAERSK A/S A" 372600 75000 . .3636364 .009597253
15222 "A.P. MOLLER - MAERSK A/S A" 372600 73500 . .3636364 .009597253
15223 "A.P. MOLLER - MAERSK A/S A" 372600 76000 . .3636364 .009597253
15224 "A.P. MOLLER - MAERSK A/S A" 372600 76000 . .3636364 .009597253
15229 "A.P. MOLLER - MAERSK A/S A" 372600 72000 . .3636364 .009597253
15231 "A.P. MOLLER - MAERSK A/S A" 372600 72500 . .3636364 .009597253
15232 "A.P. MOLLER - MAERSK A/S A" 372600 70000 . .3636364 .009597253
15235 "A.P. MOLLER - MAERSK A/S A" 372600 67000 . .3636364 .009597253
15236 "A.P. MOLLER - MAERSK A/S A" 372600 65500 . .3636364 .009597253
15237 "A.P. MOLLER - MAERSK A/S A" 372600 65300 . .3636364 .009597253
15239 "A.P. MOLLER - MAERSK A/S A" 372600 58500 . .3636364 .009597253
15242 "A.P. MOLLER - MAERSK A/S A" 372600 61000 . .3636364 .009597253
15243 "A.P. MOLLER - MAERSK A/S A" 372600 60000 . .3636364 .009597253
15244 "A.P. MOLLER - MAERSK A/S A" 372600 59500 . .3636364 .009597253
15245 "A.P. MOLLER - MAERSK A/S A" 372600 59500 . .3636364 .009597253
15246 "A.P. MOLLER - MAERSK A/S A" 372600 58000 . .3636364 .009597253
15249 "A.P. MOLLER - MAERSK A/S A" 372600 54000 . .3636364 .009597253
15250 "A.P. MOLLER - MAERSK A/S A" 372600 55000 . .3636364 .009597253
15251 "A.P. MOLLER - MAERSK A/S A" 372600 57000 . .3636364 .009597253
15252 "A.P. MOLLER - MAERSK A/S A" 372600 61000 . .3636364 .009597253
15253 "A.P. MOLLER - MAERSK A/S A" 372600 62500 . .3636364 .009597253
15256 "A.P. MOLLER - MAERSK A/S A" 372600 60000 . .3636364 .009597253
15258 "A.P. MOLLER - MAERSK A/S A" 372600 64500 . .3636364 .009597253
15259 "A.P. MOLLER - MAERSK A/S A" 372600 66800 . .3636364 .009597253
15260 "A.P. MOLLER - MAERSK A/S A" 372600 67000 . .3636364 .009597253
15263 "A.P. MOLLER - MAERSK A/S A" 372600 64000 . .3636364 .009597253
15266 "A.P. MOLLER - MAERSK A/S A" 372600 65500 . .3636364 .009597253
15270 "A.P. MOLLER - MAERSK A/S A" 372600 64000 . .3636364 .009597253
15271 "A.P. MOLLER - MAERSK A/S A" 372600 63000 . .3636364 .009597253
15272 "A.P. MOLLER - MAERSK A/S A" 372600 65000 . .3636364 .009597253
15273 "A.P. MOLLER - MAERSK A/S A" 372600 65000 . .3636364 .009597253
15274 "A.P. MOLLER - MAERSK A/S A" 372600 69500 . .3636364 .009597253
15278 "A.P. MOLLER - MAERSK A/S A" 372600 66000 . .3636364 .009597253
15285 "A.P. MOLLER - MAERSK A/S A" 372600 70900 . .3636364 .009597253
15286 "A.P. MOLLER - MAERSK A/S A" 372600 67000 . .3636364 .009597253
15287 "A.P. MOLLER - MAERSK A/S A" 372600 67000 . .3636364 .009597253
15291 "A.P. MOLLER - MAERSK A/S A" 372600 62500 . .3636364 .009597253
15292 "A.P. MOLLER - MAERSK A/S A" 372600 64700 . .3636364 .009597253
15293 "A.P. MOLLER - MAERSK A/S A" 372600 67000 . .3636364 .009597253
15294 "A.P. MOLLER - MAERSK A/S A" 372600 66500 . .3636364 .009597253
15295 "A.P. MOLLER - MAERSK A/S A" 372600 65000 . .3636364 .009597253
15298 "A.P. MOLLER - MAERSK A/S A" 372600 65000 . .3636364 .009597253
15299 "A.P. MOLLER - MAERSK A/S A" 372600 66000 . .3636364 .009597253
15300 "A.P. MOLLER - MAERSK A/S A" 372600 65000 . .3636364 .009597253
15301 "A.P. MOLLER - MAERSK A/S A" 372600 66000 . .3636364 .009597253
15305 "A.P. MOLLER - MAERSK A/S A" 372600 64000 . .3636364 .009597253
15307 "A.P. MOLLER - MAERSK A/S A" 372600 64000 . .3636364 .009597253
15308 "A.P. MOLLER - MAERSK A/S A" 372600 65000 . .3636364 .009597253
15309 "A.P. MOLLER - MAERSK A/S A" 372600 67000 . .3636364 .009597253
15312 "A.P. MOLLER - MAERSK A/S A" 372600 70000 . .3636364 .009597253
15313 "A.P. MOLLER - MAERSK A/S A" 372600 68500 . .3636364 .009597253
15314 "A.P. MOLLER - MAERSK A/S A" 372600 69900 . .3636364 .009597253
15315 "A.P. MOLLER - MAERSK A/S A" 372600 69500 . .3636364 .009597253
15316 "A.P. MOLLER - MAERSK A/S A" 372600 69000 . .3636364 .009597253
15319 "A.P. MOLLER - MAERSK A/S A" 372600 65000 . .3636364 .009597253
15320 "A.P. MOLLER - MAERSK A/S A" 372600 67000 . .3636364 .009597253
15321 "A.P. MOLLER - MAERSK A/S A" 372600 68000 . .3636364 .009597253
15322 "A.P. MOLLER - MAERSK A/S A" 372600 68000 . .3636364 .009597253
15323 "A.P. MOLLER - MAERSK A/S A" 372600 66000 . .3636364 .009597253
15326 "A.P. MOLLER - MAERSK A/S A" 372600 64000 . .3636364 .009597253
15327 "A.P. MOLLER - MAERSK A/S A" 372600 66000 . .3636364 .009597253
15328 "A.P. MOLLER - MAERSK A/S A" 372600 64500 . .3636364 .009597253
15329 "A.P. MOLLER - MAERSK A/S A" 372600 64900 . .3636364 .009597253
15330 "A.P. MOLLER - MAERSK A/S A" 372600 65000 . .3636364 .009597253
15336 "A.P. MOLLER - MAERSK A/S A" 372600 68000 . .3636364 .009597253
15337 "A.P. MOLLER - MAERSK A/S A" 372600 69000 . .3636364 .009597253
end
format %d datadate

[Phil Bromiley]

You didn't get a quick answer. You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex.

One way to do this is to collapse the data by year, xtset using year and firm, generate the two year lag, and then merge it back with the original data. Alternatively, if dividend in your daily data is the actual reported dividend, then a big lag into the right year should work since the same dividend appears for a quarter at least (so a few trading days won't matter).

[Peter Ljungbeck]

Thank you for your response.

I ended up using F365.roai but this ignores leap years. The reason I need daily prices is to calculate the yearly beta value both to calculate an expected return variable so that an abnormal return variable can be calculated but also cause I am planning to examine the effects of a significant dividend change on a firm's systematic risk as measured by the beta.