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st: Fwd: How to manipulate crsp data to construct momentum portfolio
From
"Tang, Fang" <[email protected]>
To
[email protected]
Subject
st: Fwd: How to manipulate crsp data to construct momentum portfolio
Date
Mon, 3 Oct 2011 00:08:40 -0500
Hi, statalist,
This question really bothers me a lot.
I want to construct 10 momentum portfolios and calculate their monthly
return. Part of the monthly data is as follows. At the end of each
month, I have the data of price(prc), ret(current month return),
market capitalization for all the stocks--all variables possibly
missing. My methodology is as follows. At the end of month, I exclude
all stocks with 1) price< $5 2) market cap in the smallest 10%
3) no missing monthly return for previous 6 months.(Here, I understand
the sequence of these operations matters, but any choice is fine).
After this, I split all the left stocks into 10 deciles based on
their previous 6 months cumulative return and keep track of these 10
portfolios to calculate corresponding equally weighted monthly returns
for the future 6 months. Note some of the stocks may be unlisted in
the next 6 months so missing values may emerge here. If this happens,
just reduce the number of stocks contained in each portfolio to
calculate the equally weighted monthly returns. Lastly, since all
those portfolios will be held for 6 months, at the end of each month,
I actually have 6 portfolios available in each decile.One formed right
now, one formed 1 month ago, one formed 2 months ago, and ....one
formed 5 months ago. So the real monthly return is equally weighted
return of those 6 portfolios for each decile. The final output is
monthly returns for each of the 10 decile portfolio.
I hope I made myself clear enough. Thanks very much
Stanley Tang
+----------------------------------------------------------------------------------------------------------------------+
| date year month cusip ticker permno permco
shrout prc ret time cap |
|----------------------------------------------------------------------------------------------------------------------|
1. | 01/31/1964 1964 1 04559140 AOE 29233 23606
16 5.6875 -.031915 31jan1964 91 |
2. | 01/31/1964 1964 1 91102630 UMO 37647 24250
16 5.71875 -.056701 31jan1964 91.5 |
3. | 01/31/1964 1964 1 25474130 DIL 31245 23763
51 3.59375 -.128788 31jan1964 183.2813 |
4. | 01/31/1964 1964 1 74099090 PMW 39001 24352
415 .53125 .0625 31jan1964 220.4688 |
5. | 01/31/1964 1964 1 36959520 GLE 32168 23832
26 9.25 -.130667 31jan1964 240.5 |
|----------------------------------------------------------------------------------------------------------------------|
6. | 01/31/1964 1964 1 14444770 CRL 30373 23700
318 .78125 -.074074 31jan1964 248.4375 |
7. | 01/31/1964 1964 1 88880320 TSU 37372 24225
97 2.75 -.083333 31jan1964 266.75 |
8. | 01/31/1964 1964 1 88880330 TSU 37380 24225
34 7.9375 .024194 31jan1964 269.875 |
9. | 01/31/1964 1964 1 04999290 ASW 29364 23616
890 .375 0 31jan1964 333.75 |
10. | 01/31/1964 1964 1 95969010 WSI 38017 24279
677 .5 0 31jan1964 338.5 |
+----------------------------------------------------------------------------------------------------------------------+
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