Hi everyone,
I have the following return data (_ret_ for returns and _dlret_ for
delisting returns)for several companies (id):
Id date ret dlret
1 jan91 .1 .
1 feb91 .1 .
1 mar91 0 .05
2 jan91 .05 .
2 feb91 . -.2
3 jan91 .02 .
3 feb91 -.01 .
3 mar91 .03 .
3 apr91 .1 .
(...)
Ie, there can be several combinations of ret and dlret (at a given month):
- dlret only has a value when a company is delisted and at the delisting
period;
- ret has values and dlret has missing values: this occurs during the period
in which a company is listed. The return for the month is ret.
- ret has values and dlret has values: the company is delisted in that month
and so has a return and can have a delisting return. In this case the return
at that month is ret+dlret;
- ret doesn't has values and dlret has values: the return at that month is
dlret;
In SAS, the procedure to take care of all this possibilities ie easy: just
do ret2=sum(ret,dlret), because the sum function in SAS doesn't read missing
values but still yields a result if ony of the arguments is non missing. In
STATA, I've been looking for a similar function, but can't find it. Does
anyone knows of one?
One solution just doing:
. replace dlret=0 if dlret==.
. replace ret=0 if ret==.
. ren ret2=ret+dlret
However, I'm affraid I could be missing observations by doing this.
All the best,
Nuno
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