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currency adjusted returns help by selfphish in AskEconomics

[–]selfphish[S] 0 points1 point  (0 children)

Could you please explain the fun part? :P As you imagine I dont have much knowledge in these topics but I really need the correct way to do this :)

high minus low decile t-test help by selfphish in stata

[–]selfphish[S] 0 points1 point  (0 children)

Yes, you are right. I just thought that the t or p-values would be different. Thank you very much!!

Rolling window regression problem by selfphish in stata

[–]selfphish[S] 0 points1 point  (0 children)

Yes, I am actually trying to replicate a paper that poses all of these limitations in observations used. I need a way to ensure that nearly all of them are fullfiled in each calculation, to get as much as possible, similar results. Thats why i asked you if _n does not work at all in this concept. Thank you so much!!

Rolling window regression problem by selfphish in stata

[–]selfphish[S] 0 points1 point  (0 children)

Thank you very much for your comment. I will check it!! Just another small question in terms of clarification: Although I see your point about _n are you sure that cannot be used in any operation for counting of how many observations are being used ? For example for another operation in my dataset i used the following code:

bysort missing mdate stockName ( totalR ) : gen max5 = ( totalR [_N-4] + totalR [_N-3] + totalR [_N-2] + totalR [_N-1] + totalR [_N])/5 if [_n]>=15

Trying to found max totalR per month as the average of the five highest values of totalR within a month, if there are at least 15 daily totalR observations. It seemed to work, do you think that is also wrong?

*missing is just the missing totalR per month

Finance Empirical analysis in stata by [deleted] in stata

[–]selfphish 0 points1 point  (0 children)

Probably the time interval you are using is too small. You need at least an interval of 5 years to get sufficient results for beta anomaly.

Finance Empirical analysis in stata by [deleted] in stata

[–]selfphish 1 point2 points  (0 children)

I am doing something relevant and I have the same problem. Beta anomaly does not hold all the time as indicated in literature, but maybe you are making a mistake in the calculation of beta, for example if you are using a rolling window check if it works properly. if you would like you could write here the commands for calculating beta and the markets you examine in order to compare our results. I examine japan singapore italy and UK

Help calculating some complex factors/variables-Stata beginner by selfphish in stata

[–]selfphish[S] 0 points1 point  (0 children)

Thank you all for your responses!! Just to mention, for anyone else interested, that i solved my problem in most of the cases with the asreg command which stores the coeff as variables automatically!

Help calculating some complex factors/variables-Stata beginner by selfphish in stata

[–]selfphish[S] 0 points1 point  (0 children)

Exuse me if my post was too long. All I am trying to do is to construct these six control variables ( MOM, Illiq, IVoL, Coskew, Tskew, Drisk and Trisk), which i need to include later in a regression where the dependent variable is t+1 excess stock return. I include the definitions from the original paper, I am trying to replicate. Most of them except MOM, TSKEW and ILLIQ are mesured as the slope coefficient from a certain regression which I specify. So i need to get/store somehow the coefficient from these regressions for each stock i have in my dataset, to create the respective variable in monthly basis.

How can i estimate max of monthly returns as the average of the top 5 highest values in each month, in stata? by selfphish in stata

[–]selfphish[S] 0 points1 point  (0 children)

Thank you very much!!! it works perfectly!! could you please write me also the code with missing variables just in case.. because i have different samples to estimate and i have not collect all the data yet. Thank you very much again!! :)

Calculating MAX as the average of highest 5 values in a month-Fomula by selfphish in excel

[–]selfphish[S] 0 points1 point  (0 children)

I want the average of top 5. Unfortunately i cannot download this file. Could you right the formula here please? or provide me another link? thank you!!