Hi All,
I have to conduct a univariate portfolio analysis of US stocks between 1962-2016 (3mio observations). The first step is to build 12 portfolios at the end of every year (order criterium for the different shares is market capitalization). Does anyone can help me how I can do that with Stata? In the following of the yearly portfolio selection, I need to compute equal-weighted monthly
average returns of all the shares that are included in each portfolio.
I hope someone can help me out!
Best
Dane
I have to conduct a univariate portfolio analysis of US stocks between 1962-2016 (3mio observations). The first step is to build 12 portfolios at the end of every year (order criterium for the different shares is market capitalization). Does anyone can help me how I can do that with Stata? In the following of the yearly portfolio selection, I need to compute equal-weighted monthly
average returns of all the shares that are included in each portfolio.
I hope someone can help me out!
Best
Dane