Dear Nick,
thank you very much for your suggestion. Just as you adviced, I also want to make a subdivision into time periods, not smaller datasets. But I just wonder how can I do that.Maybe you have an good idea?
My dataset after merge A and B look like this:
permno date repdats ret
10002 04012004 04292004 .018296152
10002 04022004 07272004 .010668194
10002 04052004 10272004 -.000555568
10002 04062004 01242005 -.018343519
10002 04072004 04222005 .018686293
10002 04082004 07202005 -.016120011
10002 04122004 10122005 -.028248586
10002 04132004 01202006 -.012790768
10002 04142004 04212006 -.007656017
10002 04152004 07212006 -.001780456
10002 04162004 10202006 .029131973
-----------------------------------------------------
10002 04192004 10202006 -.030040355
10002 04202004 10202006 .000595493
10002 04212004 10202006 .006547655
... .... ...
10002 12312006 10202006
It looks very strange, cause I have only 11 report dates, but around 700 dates of return for one permno. So the last repdats 10202006 repeats for the rest of observation.
Best Regards
Hua
-------- Original-Nachricht --------
> Datum: Fri, 20 Mar 2009 15:13:33 -0000
> Von: "Nick Cox" <[email protected]>
> An: [email protected]
> Betreff: st: RE: Group building according to given report dates and company
> There is a lot of detail that you are expecting members to upload here. I
> have not tried, but I have some broad strategic advice, exactly as before.
>
> There is no _obvious_ need here for subdividing into smaller datasets
> followed by recombination.
>
> What is most evident is that you have a subdivision into time periods. So,
> create a variable that is 1, 2, etc. for your distinct time periods and
> then use that new variable -by:- as in previous problems.
>
> One of the easy details about -by:- is that you can define blocks of
> observations on as many criteria as you wish.
>
> Nick
> [email protected]
>
> Hua Pan
>
> Now I have a big problem and have thought about it over and over again and
> can’t find the way to solve it. Maybe someone here has can help me.
>
> I have two datasets, say A and B. A has permno (identify nr.), daily
> return and date. B has permno, repdate (report date).
> A
> permno date ret
> 10001 01.Apr.2004 .01793105
> 10001 02.Apr.2004 -.046070479
> 10001 05.Apr.2004 .022727251
> 10001 06.Apr.2004 -.005555551
> 10001 07.Apr.2004 .016759828
> … … …
> 10001 31.Dec.2008 …
>
> 10002 01.Apr.2004 .018296152
> 10002 02.Apr.2004 .010668194
> … … …
> 10002 31.Dec.2008 …
>
> 10003 01.Apr.2004 …
> … … …
> 93105 … …
>
> B:
> Permno repdate
> 10001 21.Apr.2004
> 10001 20.July.2004
> 10001 26.Oct.2004
> 10001 03.Feb.2005
> 04.May.2005
> … …
> 10002 23.Apr.2004
> 10002 22.July.2004
> … …
> 93105 …
> …
> I wish to calculate cumulative daily return for each company and for each
> period, from the next two days after the report day to the day before next
> report day e.g. for permno 10001, I want to calculate the cumulative return
> for periods: (21.Apr.2004 +2= 23.Apr.2004, 20.July.2004 -1=19.Juli.2004),
> (22.July.2004, 25.Oct.2004), (28.Oct.2004, 02.Feb.2005)……for permno
> 10002, from 23.Apr.2004+2+1=26.Apr.2004 (because 25.Apr.2004 is Sunday, so I
> have to plus one day), to 21.July.2004……
> (cumulative return for each day within period are to be calculated, almost
> 60 for each period)
>
> At first I tried to get dataset A and B together with merge, but not
> successful.
> use "C:\A.dta", clear
> sort permno date
> save "C:\A.dta", replace
> use "C:\B.dta", clear
> sort permno repdate
> merge permno using "C:\A.dta"
> keep if _merge == 3
> drop _merge
> save "C:\AB.dta”
>
> Many of date and returns of A are deleted. Maybe I should try joinby, or
> just change A as Master Data? How can I put them orderly together?
>
> Then I wish that I can build several groups according to the permno and
> report date:
> group1: permno 10001 with daily return from 23.Apr.2004 to 19.Juli.2004
> group2: permno 10001 with daily return from 22.July.2004 to 25.Oct.2004
> group3: permno 10001 with daily return from 28.Oct.2004 to 02.Feb.2005
> ….
> group n: permno 10002 with daily return from 26.Apr.2004 to 21.July.2004
> …..
> group m: permno 93105 with…..
>
> After I drop the Observations that don’t belong to any group, I can
> calculate cumulative return for each group, (thank Austin again for this code)
>
> bys group: g cumul=1+ret if _n==1
> replace cumul=(1+ret)*l.cumul if mi(cumul)
> replace cumul=cumul-1
>
> Finally I drop the group with missing value and calculate the mean
> cumulative return for those that have the same group number
> by group, sort: generate nr=_n
> by nr, sort: egen mean_cumul=mean(cumul)
>
> So the question is how can I put two dataset together and then put the
> observations into groups according to permno and report date and pay attention
> that the period begins and ends with work day. When I solve this problem,
> then I can calculate the mean cumulative return.
> Any suggestion would be greatly appreciated. Thank you very much.
>
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