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  • Weighted returns for the entire sector(all panels) in a panel study

    Hi

    I am stuck in understanding how to generate the sector_return (SR) using the average of returns (R) weighted by the Lagged Assets (LAit) for a panel data of 33 firms and monthly time period (mT) of 10years. (i is the individual panel/firm, t is the time period). T_LAit is the total (sum) of lagged assets in a single month for all the panels. The sector return are meant to be the weighted average of all the firm (260) in a particular time period(Tm). please see the data below for two months over few panels:

    Tm Panle ID R Avg_R LAit T_LAit SR
    2000m3 271 -0.04945 -0.00169 22918.31 295536.1
    2000m3 23 -0.08254 -0.00169 6302.238 295536.1
    2000m3 169 0.036959 -0.00169 11351.4 295536.1
    2000m3 227 -0.01166 -0.00169 255.2777 295536.1
    2000m3 139 0.048581 -0.00169 53.15778 295536.1
    2000m3 245 0.062884 -0.00169 697.7322 295536.1
    2000m3 280 -0.03818 -0.00169 355.6699 295536.1
    2000m3 124 -0.2198 -0.00169 583.3955 295536.1
    2000m3 130 0.017411 -0.00169 128.8693 295536.1
    2000m3 109 -0.08013 -0.00169 50071.98 295536.1
    2000m3 249 0.03796 -0.00169 103.0366 295536.1
    2000m3 173 -0.07338 -0.00169 7.051637 295536.1
    2000m3 49 0.068058 -0.00169 268.2257 295536.1
    2000m3 241 -0.00655 -0.00169 852.3345 295536.1
    2000m3 219 -0.01759 -0.00169 614.9119 295536.1
    2000m3 47 -0.02502 -0.00169 28783.69 295536.1
    2000m3 331 -0.1405 -0.00169 401.0868 295536.1
    2000m3 270 0.070845 -0.00169 59.16751 295536.1
    2000m3 230 0.258599 -0.00169 2166.762 295536.1
    2000m3 250 -0.04024 -0.00169 229.3511 295536.1
    2000m3 243 -0.04036 -0.00169 470.4795 295536.1
    2000m3 296 0.004157 -0.00169 31455.94 295536.1
    2000m3 319 0.223983 -0.00169 146.6953 295536.1
    2000m3 175 0.021453 -0.00169 1077.749 295536.1
    2000m3 76 -0.08253 -0.00169 2741.97 295536.1
    2000m3 327 -0.00013 -0.00169 352.8115 295536.1
    2000m3 167 0.007846 -0.00169 1.140574 295536.1
    2000m3 236 -0.02666 -0.00169 131126.2 295536.1
    2000m3 170 0.073028 -0.00169 520.3007 295536.1
    2000m3 238 -0.02326 -0.00169 969.5063 295536.1
    2000m3 129 -0.0261 -0.00169 469.6174 295536.1
    2000m4 319 -0.09971 -0.09524 179.5526 286426.1
    2000m4 130 0.242249 -0.09524 131.113 286426.1
    2000m4 131 -0.17476 -0.09524 286426.1
    2000m4 280 -0.15066 -0.09524 342.0907 286426.1
    2000m4 270 -0.13837 -0.09524 63.35926 286426.1
    2000m4 243 -0.06466 -0.09524 451.4931 286426.1
    2000m4 47 -0.07226 -0.09524 28063.59 286426.1
    2000m4 227 -0.07598 -0.09524 252.3005 286426.1
    2000m4 23 0.163546 -0.09524 5782.043 286426.1
    2000m4 109 -0.04672 -0.09524 46059.64 286426.1
    2000m4 219 -0.04588 -0.09524 604.0935 286426.1
    2000m4 76 -0.01293 -0.09524 2515.687 286426.1
    2000m4 241 -0.00187 -0.09524 846.7531 286426.1
    2000m4 250 -0.11132 -0.09524 220.1228 286426.1
    2000m4 271 -0.04753 -0.09524 21785.08 286426.1
    2000m4 175 -0.2 -0.09524 1100.87 286426.1
    2000m4 170 -0.08341 -0.09524 558.2969 286426.1
    2000m4 296 -0.18951 -0.09524 31586.7 286426.1
    2000m4 238 -0.14271 -0.09524 946.9567 286426.1
    2000m4 124 -0.74851 -0.09524 455.1642 286426.1
    2000m4 249 -0.27064 -0.09524 106.9478 286426.1
    2000m4 139 -0.1223 -0.09524 55.74022 286426.1
    2000m4 327 -0.2192 -0.09524 352.7651 286426.1
    2000m4 173 0 -0.09524 6.534202 286426.1
    2000m4 49 0.329509 -0.09524 286.4805 286426.1
    2000m4 245 -0.0775 -0.09524 741.6086 286426.1
    2000m4 236 -0.11906 -0.09524 127629.8 286426.1
    2000m4 331 -0.26907 -0.09524 344.7355 286426.1
    2000m4 169 -0.07287 -0.09524 11770.93 286426.1
    2000m4 229 -0.20032 -0.09524 286426.1
    2000m4 129 -0.14667 -0.09524 457.3594 286426.1
    2000m4 167 0.106096 -0.09524 1.149523 286426.1
    2000m4 230 -0.08 -0.09524 2727.085 286426.1
    Exactly what I need to measure from the data is "find SR which is generated by taking average returns (R), weighted by Lagged Assets (LAit)"

    Best Regards

  • #2
    I do not work in finance or economics, so I am relying entirely on your definition of sector average returns and translating it into code.
    Code:
    by Tm, sort: egen numerator = total(LAit*R)
    by Tm: egen denominator = total(LAit)
    gen SR = numerator/denominator
    Gentle reminder to always use -dataex- when showing example data. You have used it successfully before. Please continue to do so when showing data.
    Last edited by Clyde Schechter; 04 Oct 2019, 10:58.

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    • #3
      Thanks a million Clyde Schechter

      Your support is remarkable as always. I did manage to get around what I wanted to do in above.

      hope to have further assistance from you next time .

      Best Regards

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