Re: st: how to merge three dataset to facilitate subsequent calculation

["Darren White" <darrenm.white@health.qld.gov.au>]

Hi Mengjia

This may not be your answer but data merging can be achieved by using
the function in the menu/data/combine datasets/ (list of merging
options)

The dialogue windows are pretty strait-forward.

Darren


>>> 李 梦佳<limengjia626@163.com> 4/16/2013 2:46 pm >>>
Dear statalist,

I want to replicate Huang, Sialm, Zhang (JF, 2012) to use" risk
shifting" to measure mutual fund's risk taking. To start with, I need to
calculate the holdings return (RHf,t)of mutual fund and its volatility
(sigma). As the authors point out, it's easier to first calculate the
holdings return of the past 36 months and then use these values to reach
the sigma. For each fund i at each month t in the past 36 month:

RH i,t= si * Rstockt + b1*Rbondt + ci*Rcasht
         = si * sum(Rstockj,t * pj,t) + b1*Rbondt + ci*Rcasht

I've collected the data needed in calculation but they exist in 3
different files whose structures are like the following:

(1) Asset composition file: (where si+bi+ci=100%)
Fund|stock%|bond%|cash%| Time
-------------+--------------------------------------------------------
Fund001s1b1c1200506
⋯⋯
Fund299s299b299c299200506
Fund001s1b1c1200512
⋯⋯
Fund299s299b299c299200512
⋯⋯
Fund001s1b1c1201012
⋯⋯
Fund299s299b299c299201012



(2) Stock Holding file: (where for each Fund at each time, sum of the
second column equals 100%)
Fund|stockholding|%of all stock|Time
-------------+--------------------------------------------------------------
Fund001stock0010.3200506
⋯⋯
Fund001stock0501.8200506
⋯⋯
Fund299200506
⋯⋯
Fund001stock0012.5201012
⋯⋯
Fund001stock0950.7201012
⋯⋯
Fund299201012



(3) Stock Return File:
stock|Month|Return
-------------+--------------------------
stock0012002-01r1
stock0012002-02r2
⋯⋯
stock0012010-12r108
⋯⋯
stocknnn 2010-12  rnnn


How can I "merge" (probably not appropriate term here) these 3 data set
to calculate the RH and its volatility (sigma) using the RHs of past 36
month?

Many thanks and best regards,
Mengjia

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