I am now regress anomalies of the long-short strategy during different investor sentiment period. I've sort the sentiment period into high sentiment and low sentiment period. I can regress the anomalies during high sentiment and low sentiment separately. Now i have to regress the difference between high and low sentiment period, and this is where my problem is.
Can anyone tell me how to use the returns during high sentiment to minus the ones during low sentiment and run the regression?
Thank you in advance!
here's part of my code :
Code:
/ //for the long leg *during period of high sentiment gen long_high = . replace long_high = long_excess if High == 1 reg long_high, robust *during period of low sentiment gen long_low = . replace long_low = long_excess if Low == 1 reg long_low, robust // I also tried this to compare the return difference during these two periods, but i thought this is not quite convenient and might be wrong // firstly i save the data as in the profile and then do the following: use "2_data_output/9_T2_H&L", clear keep long_high drop if long_high == . gen t = [_n] save "2_data_output/9_t2_long_high", replace use "2_data_output/9_T2_H&L", clear keep long_low drop if long_low == . gen t = [_n] merge 1:1 t using "2_data_output/9_t2_long_high" drop if _merge != 3 drop _merge gen long_high_low = long_high - long_low reg long_high_low, robust
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input float(year month long_excess short_excess spread_excess High Low long_high long_low short_high short_low spread_high spread_low) 1965 8 2.113655 4.5946918 -2.481037 . 1 . 2.113655 . 4.5946918 . -2.481037 1965 9 2.712177 1.7329366 .9792402 . 1 . 2.712177 . 1.7329366 . .9792402 1965 10 2.608835 3.831703 -1.2228682 . 1 . 2.608835 . 3.831703 . -1.2228682 1965 11 -.4219974 1.0842466 -1.506244 . 1 . -.4219974 . 1.0842466 . -1.506244 1965 12 .5496983 -1.903147 2.452845 . 1 . .5496983 . -1.903147 . 2.452845 1966 1 .2819972 .9168789 -.6348817 . 1 . .2819972 . .9168789 . -.6348817 1966 2 -3.916921 2.945797 -6.862718 . 1 . -3.916921 . 2.945797 . -6.862718 1966 3 -4.2584186 -.26062697 -3.9977915 . 1 . -4.2584186 . -.26062697 . -3.9977915 1966 4 -.3266898 5.688498 -6.015188 . 1 . -.3266898 . 5.688498 . -6.015188 1966 5 -4.0639577 -3.930259 -.1336987 . 1 . -4.0639577 . -3.930259 . -.1336987 1966 6 -3.0536065 -2.2476447 -.8059618 . 1 . -3.0536065 . -2.2476447 . -.8059618 1966 7 -3.1833386 -4.3205814 1.1372428 . 1 . -3.1833386 . -4.3205814 . 1.1372428 1966 8 -8.476387 -11.618307 3.14192 . 1 . -8.476387 . -11.618307 . 3.14192 1966 9 -1.1963408 -2.1784227 .9820819 . 1 . -1.1963408 . -2.1784227 . .9820819 1966 10 -.7408968 2.609444 -3.3503404 . 1 . -.7408968 . 2.609444 . -3.3503404 1966 11 1.6910785 11.858765 -10.167686 . 1 . 1.6910785 . 11.858765 . -10.167686 1966 12 5.621592 -4.263537 9.885129 . 1 . 5.621592 . -4.263537 . 9.885129 1967 1 10.973114 8.700139 2.272975 . 1 . 10.973114 . 8.700139 . 2.272975 1967 2 3.50877 2.3290498 1.1797202 . 1 . 3.50877 . 2.3290498 . 1.1797202 1967 3 4.652876 4.805441 -.1525655 . 1 . 4.652876 . 4.805441 . -.1525655 1967 4 -.5550592 7.44843 -8.003489 . 1 . -.5550592 . 7.44843 . -8.003489 1967 5 1.1850634 -5.857903 7.042966 . 1 . 1.1850634 . -5.857903 . 7.042966 1967 6 3.244605 2.788834 .45577145 . 1 . 3.244605 . 2.788834 . .45577145 1967 7 7.115045 3.874219 3.240826 . 1 . 7.115045 . 3.874219 . 3.240826 1967 8 -.10974194 -1.5687592 1.4590173 . 1 . -.10974194 . -1.5687592 . 1.4590173 1967 9 1.1386691 2.288789 -1.1501199 . 1 . 1.1386691 . 2.288789 . -1.1501199 1967 10 -4.921431 1.4329666 -6.354398 . 1 . -4.921431 . 1.4329666 . -6.354398 1967 11 -.008102045 1.7566234 -1.7647254 . 1 . -.008102045 . 1.7566234 . -1.7647254 1967 12 2.704828 2.1337602 .5710678 . 1 . 2.704828 . 2.1337602 . .5710678 1968 1 1.8896433 -10.73514 12.624783 . 1 . 1.8896433 . -10.73514 . 12.624783 1968 2 -3.1467705 -5.18183 2.0350595 . 1 . -3.1467705 . -5.18183 . 2.0350595 1968 3 -1.5454537 2.5023074 -4.047761 1 . -1.5454537 . 2.5023074 . -4.047761 . 1968 4 8.421733 12.663926 -4.242193 1 . 8.421733 . 12.663926 . -4.242193 . 1968 5 2.8999364 3.738553 -.8386168 . 1 . 2.8999364 . 3.738553 . -.8386168 1968 6 .23074245 -2.68006 2.9108026 1 . .23074245 . -2.68006 . 2.9108026 . 1968 7 -2.1535227 -7.006055 4.852532 1 . -2.1535227 . -7.006055 . 4.852532 . 1968 8 1.8048393 1.12887 .6759692 1 . 1.8048393 . 1.12887 . .6759692 . 1968 9 6.120957 4.5526276 1.5683298 1 . 6.120957 . 4.5526276 . 1.5683298 . 1968 10 1.818216 -2.507424 4.3256397 1 . 1.818216 . -2.507424 . 4.3256397 . 1968 11 5.498557 7.994974 -2.496417 1 . 5.498557 . 7.994974 . -2.496417 . 1968 12 -.711086 -3.70512 2.994034 1 . -.711086 . -3.70512 . 2.994034 . 1969 1 .7924113 -2.956972 3.7493834 1 . .7924113 . -2.956972 . 3.7493834 . 1969 2 -6.762702 -8.8334465 2.070744 1 . -6.762702 . -8.8334465 . 2.070744 . 1969 3 .1519336 .6217533 -.4698197 1 . .1519336 . .6217533 . -.4698197 . 1969 4 2.56019 .6804342 1.8797557 1 . 2.56019 . .6804342 . 1.8797557 . 1969 5 -2.1312907 -2.9841974 .8529067 1 . -2.1312907 . -2.9841974 . .8529067 . 1969 6 -11.403998 -9.102878 -2.3011208 1 . -11.403998 . -9.102878 . -2.3011208 . 1969 7 -6.616497 -11.12009 4.5035934 1 . -6.616497 . -11.12009 . 4.5035934 . 1969 8 2.021029 8.5742035 -6.553174 1 . 2.021029 . 8.5742035 . -6.553174 . 1969 9 -1.5112845 -4.4802976 2.969013 1 . -1.5112845 . -4.4802976 . 2.969013 . 1969 10 7.77114 8.298175 -.52703524 1 . 7.77114 . 8.298175 . -.52703524 . 1969 11 -6.602033 -4.342446 -2.2595873 1 . -6.602033 . -4.342446 . -2.2595873 . 1969 12 -5.228517 -3.402241 -1.8262756 1 . -5.228517 . -3.402241 . -1.8262756 . 1970 1 -5.842575 -13.032257 7.189682 1 . -5.842575 . -13.032257 . 7.189682 . 1970 2 5.018503 4.762554 .25594902 1 . 5.018503 . 4.762554 . .25594902 . 1970 3 .7580438 -4.7515993 5.509643 1 . .7580438 . -4.7515993 . 5.509643 . 1970 4 -10.637965 -19.424294 8.786328 1 . -10.637965 . -19.424294 . 8.786328 . 1970 5 -3.4445906 -10.640683 7.196093 1 . -3.4445906 . -10.640683 . 7.196093 . 1970 6 -7.292585 -9.535181 2.2425957 1 . -7.292585 . -9.535181 . 2.2425957 . 1970 7 6.853394 5.770004 1.0833893 1 . 6.853394 . 5.770004 . 1.0833893 . 1970 8 4.534803 7.585699 -3.050896 1 . 4.534803 . 7.585699 . -3.050896 . 1970 9 3.846845 9.783924 -5.937079 1 . 3.846845 . 9.783924 . -5.937079 . 1970 10 -3.250186 -3.5721774 .3219914 1 . -3.250186 . -3.5721774 . .3219914 . 1970 11 4.425929 3.4717596 .9541695 1 . 4.425929 . 3.4717596 . .9541695 . 1970 12 6.508982 2.3686438 4.140338 1 . 6.508982 . 2.3686438 . 4.140338 . 1971 1 9.604625 7.97692 1.6277046 1 . 9.604625 . 7.97692 . 1.6277046 . 1971 2 .3284841 -.53091806 .8594022 1 . .3284841 . -.53091806 . .8594022 . 1971 3 3.756774 5.680111 -1.9233372 1 . 3.756774 . 5.680111 . -1.9233372 . 1971 4 3.434862 3.554248 -.11938667 1 . 3.434862 . 3.554248 . -.11938667 . 1971 5 -3.117192 -3.370032 .25283957 . 1 . -3.117192 . -3.370032 . .25283957 1971 6 -1.7789034 1.2264736 -3.005377 . 1 . -1.7789034 . 1.2264736 . -3.005377 1971 7 -8.251288 -6.454547 -1.796741 . 1 . -8.251288 . -6.454547 . -1.796741 1971 8 5.990544 4.298956 1.691588 . 1 . 5.990544 . 4.298956 . 1.691588 1971 9 -2.385594 -.41497 -1.970624 . 1 . -2.385594 . -.41497 . -1.970624 1971 10 -7.80325 -6.237272 -1.565978 . 1 . -7.80325 . -6.237272 . -1.565978 1971 11 -1.431545 .9477333 -2.3792782 . 1 . -1.431545 . .9477333 . -2.3792782 1971 12 12.232764 11.513345 .7194195 . 1 . 12.232764 . 11.513345 . .7194195 1972 1 11.357686 4.134503 7.223183 . 1 . 11.357686 . 4.134503 . 7.223183 1972 2 4.6878734 4.168227 .51964617 . 1 . 4.6878734 . 4.168227 . .51964617 1972 3 -1.923905 -.1767674 -1.7471377 . 1 . -1.923905 . -.1767674 . -1.7471377 1972 4 .4149056 2.1147425 -1.699837 . 1 . .4149056 . 2.1147425 . -1.699837 1972 5 -2.9860954 2.2239296 -5.210025 . 1 . -2.9860954 . 2.2239296 . -5.210025 1972 6 -3.054416 -2.936456 -.11796045 . 1 . -3.054416 . -2.936456 . -.11796045 1972 7 -2.748778 -2.9789865 .23020864 . 1 . -2.748778 . -2.9789865 . .23020864 1972 8 4.824571 1.774485 3.050086 . 1 . 4.824571 . 1.774485 . 3.050086 1972 9 -4.3545446 -2.226455 -2.1280897 . 1 . -4.3545446 . -2.226455 . -2.1280897 1972 10 -.8215827 -3.248502 2.426919 . 1 . -.8215827 . -3.248502 . 2.426919 1972 11 5.188623 7.695151 -2.5065284 . 1 . 5.188623 . 7.695151 . -2.5065284 1972 12 -3.057254 .610857 -3.668111 . 1 . -3.057254 . .610857 . -3.668111 1973 1 -5.262606 -7.212911 1.9503045 . 1 . -5.262606 . -7.212911 . 1.9503045 1973 2 -6.05538 -8.112985 2.0576043 . 1 . -6.05538 . -8.112985 . 2.0576043 1973 3 -2.0585976 -3.9437394 1.885142 . 1 . -2.0585976 . -3.9437394 . 1.885142 1973 4 -7.395673 -7.887769 .49209595 . 1 . -7.395673 . -7.887769 . .49209595 1973 5 -7.236129 -7.466108 .2299795 . 1 . -7.236129 . -7.466108 . .2299795 1973 6 -2.52135 -4.334335 1.8129847 . 1 . -2.52135 . -4.334335 . 1.8129847 1973 7 7.83624 14.489782 -6.653542 . 1 . 7.83624 . 14.489782 . -6.653542 1973 8 -3.230599 -4.5253963 1.2947972 . 1 . -3.230599 . -4.5253963 . 1.2947972 1973 9 11.200712 10.135047 1.0656652 . 1 . 11.200712 . 10.135047 . 1.0656652 1973 10 1.1378112 -.4050448 1.542856 . 1 . 1.1378112 . -.4050448 . 1.542856 1973 11 -10.55416 -19.71132 9.157164 . 1 . -10.55416 . -19.71132 . 9.157164 end
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