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st: RE: generating annualized standard deviation of returns from monthly data.
From
Kieran McCaul <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: generating annualized standard deviation of returns from monthly data.
Date
Thu, 27 Feb 2014 12:23:54 +0800
...
Like this?
clear *
input firm str7 date return
1 "Jan2000" 0.875
1 "Feb2000" 1.2
1 "Mar2000" 0.9
1 "Jan2001" 0.35
1 "Feb2001" 0.98
2 "Jan2000" 1.4
2 "Feb2000" .76
2 "Mar2000" 1.34
end
gen year = substr(date, 4,.)
preserve
collapse (sd) sd_return=return, by(firm year)
tempfile ttt
save `ttt', replace
restore
merge m:1 firm year using `ttt'
list
bysort firm year: summ return
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Ikechukwu M.
Sent: Thursday, 27 February 2014 9:33 AM
To: [email protected]
Subject: st: generating annualized standard deviation of returns from monthly data.
I am trying to compute standard deviation of returns for a panel data set and I am having a little difficulty.
My data looks like this
Firm date return
1 Jan2000 0.875
1 Feb2000 1.2
1 Mar2000 0.9
1 Jan2001 0.35
1 Feb2001 0.98
2 Jan2000 1.4
2 Feb2000 .76
2 Mar2000 1.34
I would like to compute the annualized standard deviation of returns for each firm and return one number for each firm in each year.
Any help is greatly appreciated.
Thank you very much.
IK
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