I have a hopefully simple question on calculating proportions.
I have daily returns (ret) for different stocks (stock) and I would like to
calculate the proportion of days for which a firm's daily stock return was
below 5% over the last 3 calendar years.
If all I needed was the proportion of trading days for which the return was
below 5% over the last 1 calendar year, I could calculate this by the
following long-winded method:
gen lo = 0
replace lo = 1 if ret < -5
egen temp = count(lo), by (stock year)
egen temp2 = sum(lo), by (stock year)
gen prop = temp2/temp
gen temp3 = prop[_n-1] if month == 1 & month[_n-1] == 12 & year ==
year[_n-1]+1
egen lastprop = sum(temp3), by (stock year)
a) There must be a faster way of doing the above - I tried something like
egen prop = count(lo)/sum(lo), by (stock year) but it said 'varlist not
allowed". Please could you advise me of any faster way?
b) How do I modify the above to calculate the proportion of trading days
where the return was < 5% over the last 3 calendar years?
Thanks very much in advance for any assistance.
Yvonne
