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st: panel data analysis
From
Erik Paas <[email protected]>
To
Stata list <[email protected]>
Subject
st: panel data analysis
Date
Tue, 3 Jan 2012 14:13:43 +0100
I have 269 companies (tickers), their weekly stock returns, weekly
volume and another hopefully related variable (an index named
variable_x).
Aim is to investigate whether variable_x has any predictive power on
returns and/or volume.
How should I proceed using Stata?
Example of data:
Ticker return_week volume_week variable_x date
AAPL 0.0544 9934332 20 15jan2005
AAPL 0.0223 3432432 18 22jan2005
MSFT 0.0212 7556665 80 15jan2005
MSFT 0.0334 23444444 78 22jan2005
PEP -0.0221 55665555 56 15jan2005
PEP 0.0865 1223322 89
22jan2005
Furthermore I would like to add the S&P500 weekly returns as another variable.
Calculate excess return over the market (company return - S&P500 return)
Then test whether highest growers of variable_x also earn highest
excess returns.
Erik
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