Hello,

Can you please help me with the following issue:
I want to form quantiles based on the credit rating (quantile_cr_monthly) at time (month) t.
At time t+1, I would like to compute the average returns (ret_eom) for the observations within the quantile formed at month t.

I tried the following command, but it returns a "not sorted" error:
I first define each monthly observation as:
gen mdate = ym(yr, month)

To compute the average returns, I tried:
bysort mdate quantile_cr_monthly: egen ptf_ret_cr_lead=mean(f.ret_eom)

Thank you for your help!