Hello,
So I want to compute returns for individual firms and then portfolios, starting five months after their fiscal year end.
My data for this looks like this;
Note. fyearendmonthhistoric indicates the end month of the fiscal year for that given fiscal year. The globalkey indicates the firm. Data has been sorted based on the globalkey and date.
I have been stuck on this for a couple of days now... So I really hope someone can help.
thank you in advance,
Julien.
So I want to compute returns for individual firms and then portfolios, starting five months after their fiscal year end.
My data for this looks like this;
Code:
* Example generated by -dataex-. For more info, type help dataex clear input long globalkey int fyear byte fyearendmonthhistoric float(monthlypriceclose date) 1000 1961 12 . 730 1000 1962 12 . 1095 1000 1963 12 . 1460 1000 1964 12 . 1826 1000 1965 12 . 2191 1000 1966 12 . 2556 1000 1967 12 . 2921 1000 1968 12 . 3287 1000 1969 12 . 3652 1000 . . 11.75 3925 1000 . . 12.5 3956 1000 . . 9 3986 1000 . . 9 4048 1000 . . 11.125 4076 1000 . . 9.75 4107 1000 . . 10.75 4137 1000 . . 8.625 4168 1000 . . 8.25 4198 1000 . . 6.125 4229 1000 . . 5.25 4260 1000 . . 4.625 4290 1000 . . 4.875 4321 1000 . . 4.125 4351 1000 . . 5.75 4413 1000 . . 5.25 4442 1000 . . 5.625 4473 1000 . . 7.125 4503 1000 . . 6.625 4534 1000 . . 6 4564 1000 . . 6 4595 1000 . . 5.875 4626 1000 . . 5.25 4656 1000 . . 5.625 4687 1000 . . 5.5 4717 1000 . . 5.125 4779 1000 . . 4.25 4807 1000 . . 4.375 4838 1000 . . 3.375 4868 1000 . . 3.125 4899 1000 . . 3 4929 1000 . . 3.875 4960 1000 . . 2.875 4991 1000 . . 3 5021 1000 . . 2.5 5052 1000 . . 1.75 5082 1000 1973 12 1.75 5113 1000 . . 2.25 5144 1000 . . 2.5 5172 1000 . . 2.625 5203 1000 . . 2.875 5233 1000 . . 2.5 5264 1000 . . 2.625 5294 1000 . . 2.25 5325 1000 . . 2.625 5356 1000 . . 2.125 5386 1000 . . 2.25 5417 1000 . . 2.25 5447 1000 1974 12 2.125 5478 1000 . . 2.125 5509 1000 . . 2.625 5537 1000 . . 3 5568 1000 . . 2.75 5598 1000 . . 2.5 5629 1000 . . 2.875 5659 1000 . . 3.5 5690 1000 . . 3.25 5721 1000 . . 4 5751 1000 . . 4.25 5782 1000 . . 4.25 5812 1000 1975 12 4.375 5843 1000 . . 4.5 5874 1000 . . 6.25 5903 1000 . . 6.75 5934 1000 . . 6.875 5964 1000 . . 6 5995 1000 . . 7.25 6025 1000 . . 7.5 6056 1000 . . 7.5 6087 1000 . . 7.125 6117 1000 . . 5.875 6148 1000 . . 5.375 6178 1000 1976 12 5.75 6209 1000 . . 6.125 6240 1000 . . 6 6268 1000 . . 6.25 6299 1000 . . 5.75 6329 1000 . . 6.125 6360 1000 . . 6.5 6390 1000 . . 8 6421 1000 . . 8.375 6452 1000 . . 9 6482 1000 . . 8.625 6513 1000 . . 8.625 6543 1000 . . 9.125 6605 1000 . . 8.875 6633 1000 . . 8.875 6664 1000 . . 9.125 6694 1000 . . 9.25 6725 1000 . . 9.375 6755 1000 . . . 6786 end format %td date
I have been stuck on this for a couple of days now... So I really hope someone can help.
thank you in advance,
Julien.
