Friday, March 29, 2019

Value weighted returns are the same as equal weighted returns

Dear everyone,
Im sorry to post something similar as my post yesterday, however it is really important that i can figure this out. I want to calculate weighted returns on the basis of the market value of a firm at week=0 (mv2). I duplicated this value for every firm(companyid) over their whole timeperiod up to week 156.
As a next step i calculated the returns with the _gwtmean package. After this i used the following code in order to determine the valueweighted returns.
Code: bys companyid(week): egen wmean_ret = wtmean(returnPE), weight(mv2)

However, this gave the same mean return as without using the weighted mean code.

bys Companyid(week): egen mean_ret = mean(returnco) . So in the end there doesnt seem to be any weighting applied to the returns. Any ideas on how i could get different returns based on firm prominence by market value at time=0?

I'd really appreciate your help!

My data looks as follows:
Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input int Date double PriceCO byte Companyid int week float(returnco mv2 wmreturnPE mean_ret)
18611   9.9 1  0           . 290.7 .0041245334 .0041245334
18618  9.89 1  1 -.001010101 290.7 .0041245334 .0041245334
18625    10 1  2  .011122346 290.7 .0041245334 .0041245334
18632 10.34 1  3        .034 290.7 .0041245334 .0041245334
18639 10.21 1  4 -.012572533 290.7 .0041245334 .0041245334
18646 10.57 1  5   .03525955 290.7 .0041245334 .0041245334
18653 11.27 1  6   .06622516 290.7 .0041245334 .0041245334
18660 12.35 1  7   .09582964 290.7 .0041245334 .0041245334
18667    12 1  8  -.02834008 290.7 .0041245334 .0041245334
18674 12.51 1  9       .0425 290.7 .0041245334 .0041245334
18681 12.24 1 10 -.021582734 290.7 .0041245334 .0041245334
18688 12.59 1 11   .02859477 290.7 .0041245334 .0041245334
18695 12.49 1 12 -.007942812 290.7 .0041245334 .0041245334
18702 11.86 1 13  -.05044035 290.7 .0041245334 .0041245334
18709 12.55 1 14   .05817875 290.7 .0041245334 .0041245334
18716 12.05 1 15  -.03984064 290.7 .0041245334 .0041245334
18723 11.71 1 16  -.02821577 290.7 .0041245334 .0041245334
18730 11.61 1 17 -.008539709 290.7 .0041245334 .0041245334
18737 11.33 1 18  -.02411714 290.7 .0041245334 .0041245334
18744 11.88 1 19   .04854369 290.7 .0041245334 .0041245334
18751 11.41 1 20  -.03956229 290.7 .0041245334 .0041245334
18758 11.82 1 21   .03593339 290.7 .0041245334 .0041245334
18765 12.92 1 22    .0930626 290.7 .0041245334 .0041245334
18772 13.01 1 23  .006965944 290.7 .0041245334 .0041245334
18779 13.07 1 24  .004611837 290.7 .0041245334 .0041245334
18786 13.03 1 25 -.003060444 290.7 .0041245334 .0041245334
18793  12.1 1 26  -.07137375 290.7 .0041245334 .0041245334
18800 13.14 1 27   .08595041 290.7 .0041245334 .0041245334
18807 13.35 1 28  .015981736 290.7 .0041245334 .0041245334
18814 13.07 1 29 -.020973783 290.7 .0041245334 .0041245334
end
format %tdnn/dd/CCYY Date

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