Hello everyone,
i need help i have formed portfolios every year in July, the portfolios are defined in the variable size3 from 0 to 3, now I want to create a long/short hedge portfolio with the monthly return. t-stat, p-value, sharpe-ratio and N, like in this paper below,could you please help me how? I provide my dataset below:
I would appreciate any kind of help, already tried so long.
Thank you and have a nice day!
i need help i have formed portfolios every year in July, the portfolios are defined in the variable size3 from 0 to 3, now I want to create a long/short hedge portfolio with the monthly return. t-stat, p-value, sharpe-ratio and N, like in this paper below,could you please help me how? I provide my dataset below:
I would appreciate any kind of help, already tried so long.
Thank you and have a nice day!
Code:
* Example generated by -dataex-. For more info, type help dataex clear input double LPERMNO str70 conm double(trt1m csho_) float shares_reserved_market_cap double size3 float(market_cap value_weights value_weighted_returns num_aktien qdate mdate ratio employee_ownership) 10735 "SQUIBB CORP" 8.333333333333325 3273000 .00019859456 1 261840000 .02169912 .180826 3 10 30 4160000 .015887564 12490 "INTL BUSINESS MACHINES CORP" 14.0777485024844 27562000 .00006279556 1 10749167616 .8908015 12.54048 3 10 30 263249712 .02449024 23341 "AMERICAN CYANAMID CO" 4.85287910202965 21382000 .00015248485 1 1055842624 .08749944 .4246242 3 10 30 7950176 .007529698 24571 "CITIES SERVICE CO" -2.0304290429193794 10830000 .0028800776 2 615955648 .7745442 -1.572657 2 10 30 100896152 .16380425 21266 "MCKESSON CORP" 3.9426523297490856 4194000 .0013553196 2 179293504 .22545576 .8888937 2 10 30 10388250 .05793991 12837 "LIGGETT GROUP INC-OLD" 1.2658227848101333 3949000 .0044636936 3 262114752 .3568628 .451725 2 10 30 77658712 .29627752 19940 "WALKER (HIRAM) RESOURCES LTD" -1.0899070449870152 8628000 .069668114 3 472382528 .6431372 -.7009598 2 10 30 1801820672 3.814325 12490 "INTL BUSINESS MACHINES CORP" 2.5826218984944527 27562000 .00006279556 1 10749167616 .8908015 2.3006034 3 10 31 263249712 .02449024 10735 "SQUIBB CORP" -6.959706959706946 3273000 .00019859456 1 261840000 .02169912 -.1510195 3 10 31 4160000 .015887564 23341 "AMERICAN CYANAMID CO" 5.440618723540602 21382000 .00015248485 1 1055842624 .08749944 .4760511 3 10 31 7950176 .007529698 24571 "CITIES SERVICE CO" 3.8342035764138416 10830000 .0028800776 2 615955648 .7745442 2.96976 2 10 31 100896152 .16380425 21266 "MCKESSON CORP" -6.206896551724139 4194000 .0013553196 2 179293504 .22545576 -1.3993806 2 10 31 10388250 .05793991 12837 "LIGGETT GROUP INC-OLD" -5.000038150000008 3949000 .0044636936 3 262114752 .3568628 -1.7843275 2 10 31 77658712 .29627752 19940 "WALKER (HIRAM) RESOURCES LTD" 10.468337811795681 8628000 .069668114 3 472382528 .6431372 6.732578 2 10 31 1801820672 3.814325 10735 "SQUIBB CORP" -.7936507936508019 3273000 .00019859456 1 261840000 .02169912 -.017221522 3 10 32 4160000 .015887564 23341 "AMERICAN CYANAMID CO" -3.53940752041092 21382000 .00015248485 1 1055842624 .08749944 -.3096962 3 10 32 7950176 .007529698 12490 "INTL BUSINESS MACHINES CORP" -10.79161119661931 27562000 .00006279556 1 10749167616 .8908015 -9.613183 3 10 32 263249712 .02449024 21266 "MCKESSON CORP" -1.1152416356877248 4194000 .0013553196 2 179293504 .22545576 -.25143766 2 10 32 10388250 .05793991 24571 "CITIES SERVICE CO" -2.525258727686408 10830000 .0028800776 2 615955648 .7745442 -1.9559246 2 10 32 100896152 .16380425 12837 "LIGGETT GROUP INC-OLD" -8.695655724299833 3949000 .0044636936 3 262114752 .3568628 -3.103156 2 10 32 77658712 .29627752 19940 "WALKER (HIRAM) RESOURCES LTD" -4.988762291411508 8628000 .069668114 3 472382528 .6431372 -3.208459 2 10 32 1801820672 3.814325 23341 "AMERICAN CYANAMID CO" 2.44618548668627 21382000 .00015248485 1 1055842624 .08749944 .21403986 3 11 33 7950176 .007529698 10735 "SQUIBB CORP" 5.599999999999983 3273000 .00019859456 1 261840000 .02169912 .12151506 3 11 33 4160000 .015887564 12490 "INTL BUSINESS MACHINES CORP" -2.1203689716959184 27562000 .00006279556 1 10749167616 .8908015 -1.8888278 3 11 33 263249712 .02449024 21266 "MCKESSON CORP" 7.5187969924811915 4194000 .0013553196 2 179293504 .22545576 1.695156 2 11 33 10388250 .05793991 24571 "CITIES SERVICE CO" 1.8134797302020056 10830000 .0028800776 2 615955648 .7745442 1.4046203 2 11 33 100896152 .16380425 19940 "WALKER (HIRAM) RESOURCES LTD" -2.6454312356557597 8628000 .069668114 3 472382528 .6431372 -1.7013752 2 11 33 1801820672 3.814325 12837 "LIGGETT GROUP INC-OLD" -1.0989015903073551 3949000 .0044636936 3 262114752 .3568628 -.3921571 2 11 33 77658712 .29627752 23341 "AMERICAN CYANAMID CO" 12.392606820021811 21382000 .00015248485 1 1055842624 .08749944 1.0843462 3 11 34 7950176 .007529698 12490 "INTL BUSINESS MACHINES CORP" 15.392295317849335 27562000 .00006279556 1 10749167616 .8908015 13.71148 3 11 34 263249712 .02449024 10735 "SQUIBB CORP" 5.3030303030303205 3273000 .00019859456 1 261840000 .02169912 .11507108 3 11 34 4160000 .015887564 24571 "CITIES SERVICE CO" 9.10944483146723 10830000 .0028800776 2 615955648 .7745442 7.055668 2 11 34 100896152 .16380425 21266 "MCKESSON CORP" 6.643356643356646 4194000 .0013553196 2 179293504 .22545576 1.497783 2 11 34 10388250 .05793991 19940 "WALKER (HIRAM) RESOURCES LTD" 9.510799667439196 8628000 .069668114 3 472382528 .6431372 6.116749 2 11 34 1801820672 3.814325 12837 "LIGGETT GROUP INC-OLD" 3.5185653242461257 3949000 .0044636936 3 262114752 .3568628 1.255645 2 11 34 77658712 .29627752 10735 "SQUIBB CORP" 2.1739130434782705 3273000 .00019859456 1 261840000 .02169912 .047172 3 11 35 4160000 .015887564 12490 "INTL BUSINESS MACHINES CORP" -2.037404782129615 27562000 .00006279556 1 10749167616 .8908015 -1.814923 3 11 35 263249712 .02449024 23341 "AMERICAN CYANAMID CO" 5.92016203111092 21382000 .00015248485 1 1055842624 .08749944 .51801085 3 11 35 7950176 .007529698 24571 "CITIES SERVICE CO" 7.688638392570701 10830000 .0028800776 2 615955648 .7745442 5.955191 2 11 35 100896152 .16380425 21266 "MCKESSON CORP" 7.615894039735083 4194000 .0013553196 2 179293504 .22545576 1.7170472 2 11 35 10388250 .05793991 12837 "LIGGETT GROUP INC-OLD" -3.278732998178502 3949000 .0044636936 3 262114752 .3568628 -1.1700578 2 11 35 77658712 .29627752 19940 "WALKER (HIRAM) RESOURCES LTD" 9.428103552875156 8628000 .069668114 3 472382528 .6431372 6.063564 2 11 35 1801820672 3.814325 23341 "AMERICAN CYANAMID CO" 10.125562161161561 21382000 .00015248485 1 1055842624 .08749944 .885981 3 12 36 7950176 .007529698 12490 "INTL BUSINESS MACHINES CORP" 8.548688430859919 27562000 .00006279556 1 10749167616 .8908015 7.615184 3 12 36 263249712 .02449024 10735 "SQUIBB CORP" 10.638297872340408 3273000 .00019859456 1 261840000 .02169912 .2308417 3 12 36 4160000 .015887564 21266 "MCKESSON CORP" 2.7692307692307683 4194000 .0013553196 2 179293504 .22545576 .624339 2 12 36 10388250 .05793991 24571 "CITIES SERVICE CO" 4.39561555310839 10830000 .0028800776 2 615955648 .7745442 3.404599 2 12 36 100896152 .16380425 19940 "WALKER (HIRAM) RESOURCES LTD" .2283081190943781 8628000 .06721284 3 489638560 .6513287 .14870363 2 12 36 1867640832 3.8143256 12837 "LIGGETT GROUP INC-OLD" 10.35782020520788 3949000 .0044636936 3 262114752 .3486712 3.611474 2 12 36 77658712 .29627752 12490 "INTL BUSINESS MACHINES CORP" -5.428417589553036 27562000 .00006279556 1 10749167616 .8908015 -4.835642 3 12 37 263249712 .02449024 10735 "SQUIBB CORP" -5.769230769230771 3273000 .00019859456 1 261840000 .02169912 -.12518722 3 12 37 4160000 .015887564 23341 "AMERICAN CYANAMID CO" -7.006217792742964 21382000 .00015248485 1 1055842624 .08749944 -.6130401 3 12 37 7950176 .007529698 21266 "MCKESSON CORP" -1.197604790419149 4194000 .0013553196 2 179293504 .22545576 -.2700069 2 12 37 10388250 .05793991 24571 "CITIES SERVICE CO" 2.5684277137999922 10830000 .0028800776 2 615955648 .7745442 1.989361 2 12 37 100896152 .16380425 12837 "LIGGETT GROUP INC-OLD" -1.8770922223734443 3949000 .0044636936 3 262114752 .3486712 -.654488 2 12 37 77658712 .29627752 19940 "WALKER (HIRAM) RESOURCES LTD" -6.605911065414394 8628000 .06721284 3 489638560 .6513287 -4.30262 2 12 37 1867640832 3.8143256 12490 "INTL BUSINESS MACHINES CORP" 5.31731930668633 27562000 .00006279556 1 10749167616 .8908015 4.7366757 3 12 38 263249712 .02449024 23341 "AMERICAN CYANAMID CO" 8.978452590080789 21382000 .00015248485 1 1055842624 .08749944 .7856095 3 12 38 7950176 .007529698 10735 "SQUIBB CORP" 8.219178082191792 3273000 .00019859456 1 261840000 .02169912 .1783489 3 12 38 4160000 .015887564 24571 "CITIES SERVICE CO" 5.394178215860679 10830000 .0028800776 2 615955648 .7745442 4.1780295 2 12 38 100896152 .16380425 21266 "MCKESSON CORP" 8.25688073394495 4194000 .0013553196 2 179293504 .22545576 1.8615613 2 12 38 10388250 .05793991 19940 "WALKER (HIRAM) RESOURCES LTD" 5.601550245301445 8628000 .06721284 3 489638560 .6513287 3.6484506 2 12 38 1867640832 3.8143256 12837 "LIGGETT GROUP INC-OLD" 2.3008417415929294 3949000 .0044636936 3 262114752 .3486712 .8022373 2 12 38 77658712 .29627752 10735 "SQUIBB CORP" 2.848101265822778 3273000 .00019859456 1 261840000 .02169912 .06180128 3 13 39 4160000 .015887564 12490 "INTL BUSINESS MACHINES CORP" 10.152426895956523 27562000 .00006279556 1 10749167616 .8908015 9.043797 3 13 39 263249712 .02449024 23341 "AMERICAN CYANAMID CO" 7.323325443753714 21382000 .00015248485 1 1055842624 .08749944 .6407869 3 13 39 7950176 .007529698 21266 "MCKESSON CORP" 11.581920903954801 4194000 .0013553196 2 179293504 .22545576 2.611211 2 13 39 10388250 .05793991 24571 "CITIES SERVICE CO" 5.511882280430913 10830000 .0028800776 2 615955648 .7745442 4.2691965 2 13 39 100896152 .16380425 19940 "WALKER (HIRAM) RESOURCES LTD" .46517972211876923 8628000 .06721284 3 489638560 .6513287 .3029849 2 13 39 1867640832 3.8143256 12837 "LIGGETT GROUP INC-OLD" 14.359909899853962 3949000 .0044636936 3 262114752 .3486712 5.006887 2 13 39 77658712 .29627752 23341 "AMERICAN CYANAMID CO" 1.4159071291304448 21382000 .00015248485 1 1055842624 .08749944 .12389108 3 13 40 7950176 .007529698 10735 "SQUIBB CORP" 2.1538461538461506 3273000 .00019859456 1 261840000 .02169912 .04673656 3 13 40 4160000 .015887564 12490 "INTL BUSINESS MACHINES CORP" 3.129246164514732 27562000 .00006279556 1 10749167616 .8908015 2.787537 3 13 40 263249712 .02449024 24571 "CITIES SERVICE CO" 1.9029642623693555 10830000 .0028800776 2 615955648 .7745442 1.47393 2 13 40 100896152 .16380425 21266 "MCKESSON CORP" -5.0632911392405 4194000 .0013553196 2 179293504 .22545576 -1.1415482 2 13 40 10388250 .05793991 12837 "LIGGETT GROUP INC-OLD" -5.900188223903169 3949000 .0044636936 3 262114752 .3486712 -2.057226 2 13 40 77658712 .29627752 19940 "WALKER (HIRAM) RESOURCES LTD" 2.7777276044052446 8628000 .06721284 3 489638560 .6513287 1.809214 2 13 40 1867640832 3.8143256 12490 "INTL BUSINESS MACHINES CORP" -8.593397542797732 27562000 .00006279556 1 10749167616 .8908015 -7.655011 3 13 41 263249712 .02449024 23341 "AMERICAN CYANAMID CO" -.8474576271186418 21382000 .00015248485 1 1055842624 .08749944 -.07415207 3 13 41 7950176 .007529698 10735 "SQUIBB CORP" -5.454545454545457 3273000 .00019859456 1 261840000 .02169912 -.11835882 3 13 41 4160000 .015887564 21266 "MCKESSON CORP" -4.849472860215053 4194000 .0013553196 2 179293504 .22545576 -1.0933416 2 13 41 10388250 .05793991 24571 "CITIES SERVICE CO" -2.5878543868827153 10830000 .0028800776 2 615955648 .7745442 -2.0044076 2 13 41 100896152 .16380425 12837 "LIGGETT GROUP INC-OLD" -3.1045764019826394 3949000 .0044636936 3 262114752 .3486712 -1.0824765 2 13 41 77658712 .29627752 19940 "WALKER (HIRAM) RESOURCES LTD" -3.618742910660566 8628000 .06721284 3 489638560 .6513287 -2.3569913 2 13 41 1867640832 3.8143256 33814 "LOUISIANA LAND & EXPLORATION" -.6988547896368713 8979000 .00001869163 1 641998528 .04946132 -.03456628 4 14 42 858000 .0013364516 23341 "AMERICAN CYANAMID CO" -.2051720170940241 21379000 .00009567162 1 1055694464 .08133359 -.016687376 4 14 42 4987377.5 .004724262 19940 "WALKER (HIRAM) RESOURCES LTD" -3.31749063844462 8594000 .00013737699 1 487709056 .03757444 -.12465284 4 14 42 3802246.5 .007796137 12490 "INTL BUSINESS MACHINES CORP" -.40090233323707425 27678000 .00005132287 1 10794407936 .8316306 -.3334027 4 14 42 216059760 .0200159 20079 "SQUARE D CO" .8356867688597225 6791000 .00021050713 2 247022512 .4530518 .3786094 3 14 42 1891499 .007657193 26710 "LOEWS CORP" -1.3419338012829796 2682000 .0017475296 2 66379420 .12174323 -.16337135 3 14 42 2870996.5 .04325131 10735 "SQUIBB CORP" 5.769230769230771 6577000 .00031487335 2 231839248 .425205 2.4531054 3 14 42 2573250 .011099285 12837 "LIGGETT GROUP INC-OLD" .5059024005415358 3951000 .005605392 3 262247504 .5419688 .27418333 3 14 42 97571208 .3720577 21266 "MCKESSON CORP" 2.2601426382528267 4214000 .0022631045 3 186469504 .3853637 .8709769 3 14 42 18673500 .10014238 32475 "PARAMOUNT COMMUNICATIONS INC" 4.999963329806745 1288000 .004294373 3 35162292 .07266749 .3633348 3 14 42 4122287.5 .11723603 33814 "LOUISIANA LAND & EXPLORATION" .9266381598491469 8979000 .00001869163 1 641998528 .04946132 .04583275 4 14 43 858000 .0013364516 12490 "INTL BUSINESS MACHINES CORP" 2.587912181922869 27678000 .00005132287 1 10794407936 .8316306 2.152187 4 14 43 216059760 .0200159 23341 "AMERICAN CYANAMID CO" 6.320695751960104 21379000 .00009567162 1 1055694464 .08133359 .5140848 4 14 43 4987377.5 .004724262 19940 "WALKER (HIRAM) RESOURCES LTD" .9803505092089271 8594000 .00013737699 1 487709056 .03757444 .036836118 4 14 43 3802246.5 .007796137 20079 "SQUARE D CO" 7.182255244710323 6791000 .00021050713 2 247022512 .4530518 3.253934 3 14 43 1891499 .007657193 26710 "LOEWS CORP" -6.147928112138468 2682000 .0017475296 2 66379420 .12174323 -.7484686 3 14 43 2870996.5 .04325131 end format %tq qdate format %tm mdate
