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st: Calculating the return of stocks - problem with weekends
Dear Stata-listers,
I have a little problem and i hope someone of you could help me.
I have to calculate the returns of 134 firms. My Data looks like this:
daily number date f return
16790 1 20.12.2005 12 .0041841
16791 1 21.12.2005 12.25 .0208333
16792 1 22.12.2005 12.25 0
16793 1 23.12.2005 12.3 .0040816
16796 1 26.12.2005 12.3
16797 1 27.12.2005 12.5 .0162601
16798 1 28.12.2005 12.7 .016
16799 1 29.12.2005 12.95 .019685
16800 1 30.12.2005 12.75 -.015444
14976 2 01.01.2001 184
14977 2 02.01.2001 184 0
14978 2 03.01.2001 173.75 -.0557065
14979 2 04.01.2001 175.5 .0100719
14980 2 05.01.2001 173.75 -.0099715
14983 2 08.01.2001 174.5
14984 2 09.01.2001 167.75 -.0386819
I used the following codes to calculate:
. sort nummer daily
. tsset nummer daily
gen redite = f/l.f-1
The problems are the weekends. For example at the 26.12.2005 STATA doesn�t
calculate the return.
How can I solve this problem?
Thank You all
Tobias
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