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Re: st: Calculating past 3-month stock return with data where weekends are not included.
From
Robert Carion <[email protected]>
To
[email protected]
Subject
Re: st: Calculating past 3-month stock return with data where weekends are not included.
Date
Tue, 29 Oct 2013 13:14:09 +0200
Thank you Sergiy
Let me go through all of that and try to come up with something.
Best Regards
Robert Carion
[email protected]
On 28 Oct 2013, at 17:18, Sergiy Radyakin <[email protected]> wrote:
> Robert,
>
> from your description I see the problem is the trades do not happen
> every day. Assume first that they do. Write a program to compute the
> desired result based on that. Later we can then adjust it for the case
> of missing days. Note also that Stata now has the business calendar
> feature, which is intended for exactly this kind of questions (periods
> when an event could not occur):
> http://www.stata.com/features/overview/business-calendars/
> Quote: "Have you ever wished that when you referred to the lag of
> trading date, you got the previous trading date rather than
> yesterday’s?"
>
> Best, Sergiy Radyakin
>
> On Sun, Oct 27, 2013 at 1:50 PM, Robert Carion <[email protected]> wrote:
>> Hello Everyone
>>
>> I am using Stata 12 for mac
>>
>> I would need help calculating the past 3-month stock return for data where weekends are not included in the dataset, in other words only trading days are included.
>>
>> To make sure I'm understood properly, my data has the following DATE structure as an example:
>>
>> DATE STOCK PRICE
>> Monday 28 Oct XXX
>> Tuesdays 29 Oct XXX
>> Wednesday 30 Oct XXX
>> Thursday 31 Oct XXX
>> Friday 1 Nov XXX
>> Monday 4 Nov XXX
>> etc
>> etc
>>
>> Sorry if this should be easy to find but I couldn't find useful on Google.
>>
>> Thanks
>>
>> Robert Carion
>> [email protected]
>>
>>
>>
>>
>>
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/faqs/resources/statalist-faq/
>> * http://www.ats.ucla.edu/stat/stata/
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/faqs/resources/statalist-faq/
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
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