Re: st: Calculating returns if a stock is delisted

["C. Evans" <ce306@cam.ac.uk>]

Dear Satalist

Problem Solved!

The solution was to create new variables for each situation and then use 
-egen- and rowtotal( ) to finally add them up. I created 3 variables. One 
for delisted returns with codes. 2nd for normal returns if we were not at 
the delist date, ensuring I didn't count the final date of the sample as a 
delist date. 3rd variable was for the stocks which were delisted but they 
didn't have a delist return or code.

I hope this may help someone else out there. Sorry for the spam.

Best Regards,
Chris Evans 

On Jul 4 2013, C. Evans wrote:

> Dear Satalist
>
> Sorry if you have already replied (I was on the stata digest) so please 
> forward the replies if you have. I have been working on this and will give 
> you an update - see my original email below for previous work:
>
> For the delisting stocks that have delist codes I have now worked out 
> their discounts and have them stored as delistreturn
>
> gen discountreturn500 = (-0.3)*delistret if delistcode>499 & delistcode<601
> gen discountreturnrest = (-1)*delistret if delistcode<500
> egen delistreturn = rowtotal( discountreturn500 discountreturnrest )
> egen maxdate = max(date) if return<5000, by(id)
> gen date2 = (date)
> gen nodelist =1 if maxdate==13879
>
> The maximum date is 13879 which corresponds to 31Dec1997.  
>
> I now need to create a returns variable that uses the normal return if 
> the nodelist =1 (so the stock doesn't delist before the end of my 
> sample)or if we are not at the delist date. At the delist date the 
> variable must use the delist return value if it is available. If the 
> delist return is not availible it must calcualte a delist return by using 
> normal return*(-1). Thinking about it now I should probably create a 
> delist date variable where -gen- delistdate = 1 if date2<13879 & 
> date2==maxdate
>
> I know this is quite confusing,
>
> Best Regards,
> Chris Evans
>
>
> -----------------------------------------------
> Dear Statalist
>
> My dataset goes from 1964 to 31 December 1997. I am looking at stock
> returns and trying to create a new variable that will be related to
> returns. This new variable will use DelistRet (delisted return) if avilable
> and then use the delist code to determine what to multiply it by. As such,
> a delist code of between 500 and 600 would be multiplied by -0.3. However,
> sometimes the stock finishes at a date before 31 December 1997 and has no
> delistcode or delistret, for this I need to multiply the Return by -1. For
> all the other days when the stock is trading and not delisted I would just
> use Return.
>
> Below is an example of my data (not going all the way to 31Dec1997)
>
> Id  Date   DelistCode DelistRet Return Day Month   Year
> 1  2Jan1964    .        .        1.1    2    1     1964
> 1  3Jan1964   520       -0.7     1.2    3    1     1964
> 2  2Jan1964    .        .        1.2    2    1     1964
> 2  3Jan1964    .        .        1.4    3    1     1964
> 2  4Jan1964    .        .        1.3    4    1     1964
>
> I was trying to do this in stages as my stata skills are not great. I had
> an idea to use:
>
> egen delisted = 1 if max(date)  != day==31 & month==12 & year ==1997
>
> Which I thought would give a value of 1 for the stocks that didn't reach
> the max date. I'd be much happier to use a different line of code and I am
> open to any suggestions.
>
> Best Regards,
> Chris Evans
>
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