Dear all,
I am currently working on my last steps in my master thesis. I calculated buy and hold- and cumulative abnormal returns from a dataset with weekly periods (both stockprice and returns).
I did this on the basis of equal weighting, now as a last step i want to calculate value weighted returns and the corresponding cumulative abnormal returns. I know how to do this, but the thing is that i one to implement a weighting scheme similar to the one on this topic: https://www.statalist.org/forums/for...rns-panel-data. I tried to work with the wrapper program (_gwtmean) but it did not give me any results.
My data looks as follows:
clear
input int companyid double mv int date double PricePE int week double(SP600 SP500VALUE SP500EQUALWEIGHTED) float returnPE
1 186 19899 25.75 0 677.15 895.69 3106.84 .
1 . 19913 25.75 2 676.23 898.91 3122.59 .02142007
1 . 19920 26.560000000000002 3 663.36 904.5 3122.26 .03145631
1 . 19927 24.04 4 666 904.51 3123.71 -.09487952
1 . 19934 24.25 5 659.83 896.73 3099.79 .008735441
1 . 19941 25.29 6 649.48 873.84 3028.11 .0428866
1 . 19948 25.92 7 657.1800000000001 884.59 3069.9 .02491103
1 . 19955 27.87 8 665.6 898.9200000000001 3137.7200000000003 .07523149
1 . 19962 28.19 9 671.84 906.45 3154.41 .01148188
1 . 19969 27.98 10 672.48 908.34 3162.56 -.00744945
1 . 19976 26.080000000000002 11 667.03 902.52 3145.23 -.06790565
1 . 19983 27.080000000000002 12 661.91 907.95 3144.9900000000002 .03834356
1 . 19990 25.66 13 648.9300000000001 903.87 3121.7000000000003 -.05243722
1 . 19997 25.01 14 626.61 880.46 3037.87 -.025331255
1 . 20004 26.150000000000002 15 632.33 889.84 3066.86 .04558177
1 . 20011 25.2 16 620.98 843.94 2912.69 -.03632887
1 . 20018 26.72 17 634.63 870.51 3022.8 .06031746
1 . 20025 32.230000000000004 18 663.58 891.62 3109.05 .2062126
1 . 20032 34.45 19 677.22 910.44 3178.16 .068879925
1 . 20039 33.46 20 686.0600000000001 915.4200000000001 3203.15 -.0287373
1 . 20046 30.72 21 669.21 921.37 3215.9300000000003 -.08188882
1 . 20053 31.16 22 686.48 929.37 3256.16 .014322917
1 . 20060 32.01 23 681.41 931.83 3258.6 .027278563
1 . 20067 33.71 24 670.48 908.39 3180.77 .0531084
1 . 20074 37.44 25 675.5600000000001 904.1700000000001 3176.04 .11064966
1 . 20081 36.79 26 695.08 938.13 3284.27 -.017361112
1 . 20088 37.4 27 695.08 927.97 3251.04 .016580593
1 . 20095 36.69 28 675.27 908.41 3188.2000000000003 -.018983956
1 . 20102 36.71 29 677.5 896.94 3161.06 .00054510764
1 . 20109 31.2 30 671.7 906.77 3198.55 -.15009534
end
format %tdnn/dd/CCYY date
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I have a companyid that identifies both the market value (mv) of the firm and the price and returns of the corresponding company. However, this marketvalue is only for week=0 ; before offering at the exchange, while the stock prices are weekly up to three years. So again, i want value weighted returns on the basis of market values of week 0 for each company in my sample. This means that companies with a large market value should be given more prominence relative to the smaller ones. What could be the best way to start?
Thanks a lot in advance!