SSC astile - how to get difference of High minus low portfolio ?

[sara haris ali]

Hi there,

I am using the below example to explain my query. I am able to create portfolios successfully via astile and can see the quintile portfolios in "size5" column. Now I want to create a new variable "Difference" that gives the difference of size5 quintiles (5 - 1) within each year for "invest" variable.

there are the same ranks within a year for companies in the size5 column and I want the difference of quintile5 and quintile1 for "invest" variable. Please advise how I can do that?

webuse grunfeld
bys year: astile size5=mvalue, nq(5)

regards, Sara

[Nick Cox]

By the difference between quintiles here perhaps you have in mind something more like the difference between means for quintile bins.

Assuming that astile (SSC) assigns 1 and 5 respectively to observations in top and bottom bins (and not ranks, as you state), then you can get the means by

egen bin1 = mean(cond(size5 == 1, mvalue, .) , by(year) 
egen bin5 = mean(cond(size5 == 5, mvalue, .),  by(year)

after which

gen diff = bin5 - bin1
egen tag = tag(year)

and many (but not all) analyses of diff should be carried out if tag to ensure that just one value is considered for each year


If this is off-target, you need the help of someone familiar with astile, perhaps Attaullah Shah himself. On the other hand, if you want some summary statistic other than the mean, then the logic is similar

[sara haris ali]

Hello Nick, Thanks for the code. yes, I am looking at the difference between the means for quintile bins. I tried the code you provided and it worked. Thanks, heaps for your help.

Regards, Sara

[Nick Cox]

My typo, but the logic that parentheses should be balanced should make the correct answer easy to guess.

mean(cond(size5 == 1, mvalue, .))  

and so on.