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| From | Alexander Vogt <alex_vogt@web.de> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: Monthly returns compounded annually for various companies |
| Date | Tue, 22 Feb 2011 17:59:17 +0100 |
Hello, I'm stuck with the following problem: I'd like to compound annual returns for various companies using monthly return data from CRSP. Here is a snippet from the data (12 months for each comp_cd) the compounded rates should be stored in return_cum): comp_cd year month return ret_1 return_cum 14234 1992 1 .0133 1.0133 14234 1992 2 -.0235 0.9765 (...) 14235 1993 1 .0432 1.0432 14235 1993 2 -.0324 0.9676 (...) So far, I've tried the following command (and experimented with foreach), but my output doesn't make too much sense: by comp_cd (year): gen return_cum = exp(sum(log(ret_1))) It would be great, if anyone could help me out! Many thanks, Alex * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/