stk_return is the monthly firm return, mkt_return is the monthly market return. I'd like to run regressions for each firm and year and keep the coefficient as a new variable. E.g. For firm 1 in 1991: reg stk_return mkt_return
Thanks in advance
My data is like the following:
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input long stkcd double(year month stk_return mkt_return Monthlyrf) 1 1991 4 . .015013 .0069299999999999995 1 1991 5 -.122253 .106617 .006091999999999999 1 1991 6 -.113459 .202348 .006091999999999999 1 1991 7 -.130921 .144743 .006091999999999999 1 1991 8 -.411588 .234801 .006091999999999999 1 1991 9 -.033333 .126685 .006091999999999999 1 1991 10 .855172 .208517 .006091999999999999 1 1991 11 .022305 .179662 .006091999999999999 1 1991 12 .067273 .193024 .006091999999999999 1 1992 1 .061329 .117241 .006091999999999999 1 1992 2 .012841 .127439 .006091999999999999 1 1992 3 .246049 .109534 .006091999999999999 1 1992 4 .477927 -.00677 .006091999999999999 1 1992 5 .174026 2.027975 .006091999999999999 1 1992 6 -.070796 -.215253 .006091999999999999 1 1992 7 .085714 -.074841 .006091999999999999 1 1992 8 -.095395 -.187555 .006091999999999999 1 1992 9 .081212 -.148286 .006091999999999999 1 1992 10 -.10426 -.242838 .006091999999999999 1 1992 11 -.041302 .372036 .006091999999999999 1 1992 12 .16188 .206037 .006091999999999999 1 1993 1 .098876 .690656 .006091999999999999 1 1993 2 .202454 .115085 .006091999999999999 1 1993 3 -.02381 -.335466 .006091999999999999 1 1993 4 .02439 .259627 .006091999999999999 1 1993 5 -.057181 -.312005 .006091999999999999 1 1993 6 -.079038 .08808 .007346 1 1993 7 -.08209 -.194005 .007346 1 1993 8 -.038618 .019601 .008719 1 1993 9 -.044397 -.009539 .008719 1 1993 10 -.033186 -.085627 .008719 1 1993 11 .016018 .207882 .008719 1 1993 12 .006757 -.165163 .008719 1 1994 1 -.192394 -.06143 .008719 1 1994 2 .00554 -.01819 .008719 1 1994 3 -.170799 -.068364 .008719 1 1994 4 .062458 -.165022 .008719 1 1994 5 -.086929 -.073285 .008719 1 1994 6 -.079452 -.15894 .008719 1 1994 7 -.047327 -.311451 .008719 1 1994 8 .5625 1.455937 .008719 1 1994 9 .152 .012342 .008719 1 1994 10 -.222222 -.181018 .008719 1 1994 11 0 .054312 .008719 1 1994 12 -.064286 -.05686 .008719 1 1995 1 .005725 -.132424 .008719 1 1995 2 .008539 -.02746 .008719 1 1995 3 .01223 .185929 .008719 1 1995 4 -.099442 -.09866 .008719 1 1995 5 .011352 .224136 .008719 1 1995 6 -.064286 -.098167 .008719 1 1995 7 -.003272 .105173 .008719 1 1995 8 .056893 .044884 .008719 1 1995 9 .009703 -.001915 .008719 1 1995 10 -.059645 .003425 .008719 1 1995 11 -.055331 -.105864 .008719 1 1995 12 -.081429 -.132706 .008719 1 1996 1 -.048212 -.036151 .008719 1 1996 2 .204248 .029457 .008719 1 1996 3 .077341 .009966 .008719 1 1996 4 .952141 .233917 .008719 1 1996 5 .580645 -.052523 .007346 1 1996 6 .249796 .272179 .007346 1 1996 7 .031352 .024752 .007346 1 1996 8 .036732 -.0168 .007346 1 1996 9 -.004887 .086782 .006022 1 1996 10 .065071 .113972 .006022 1 1996 11 .04438 .051437 .006022 1 1996 12 -.0883 -.122832 .006022 1 1997 1 .164649 .050773 .006022 1 1997 2 -.002079 .081001 .006022 1 1997 3 .421875 .187734 .006022 1 1997 4 .346154 .126726 .006022 1 1997 5 -.084626 -.081282 .006022 1 1997 6 .121879 -.02502 .006022 1 1997 7 -.080816 -.044272 .006022 1 1997 8 -.036156 .018442 .006022 1 1997 9 -.038357 -.104225 .006022 1 1997 10 .177382 .08509 .006022 1 1997 11 -.033081 -.033641 .004606 1 1997 12 -.064303 .046388 .004606 1 1998 1 .021145 .028097 .004606 1 1998 2 -.020276 -.017945 .004606 1 1998 3 -.050198 .033606 .004606 1 1998 4 -.032916 .084928 .004249 1 1998 5 -.037872 .052847 .004249 1 1998 6 -.146986 -.047729 .004249 1 1998 7 .008178 -.013481 .003891 1 1998 8 -.06489 -.125467 .003891 1 1998 9 -.022924 .079879 .003891 1 1998 10 -.055802 -.020841 .003891 1 1998 11 .065816 .027592 .003891 1 1998 12 -.056081 -.081189 .003891 1 1999 1 -.034045 -.009364 .003097 1 1999 2 -.060815 -.039364 .003097 1 1999 3 .007358 .062039 .003097 1 1999 4 -.021183 -.03293 .003097 1 1999 5 .383582 .138613 .003097 1 1999 6 .485437 .320228 .003097 1 1999 7 -.197531 -.049785 .0018559999999999998 end
0 Response to Keep coefficient as a new variable
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