Dear all,

I am analysing stock returns for approximately 700 companies in Japan. My data is ordered like this:

Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float firm_id long date str107 company double(stockprice market_value) float ret
1 200310 "77 BANK (#T) - 77 BANK (#T)" 3030 232266.8            .
1 200311 "77 BANK (#T) - 77 BANK (#T)" 2880 220768.4   -.04950495
1 200312 "77 BANK (#T) - 77 BANK (#T)" 2915 223451.4   .012152778
1 200401 "77 BANK (#T) - 77 BANK (#T)" 3020 231500.2   .036020584
1 200402 "77 BANK (#T) - 77 BANK (#T)" 2875 220385.1   -.04801324
1 200403 "77 BANK (#T) - 77 BANK (#T)" 3000 229967.1    .04347826
1 200404 "77 BANK (#T) - 77 BANK (#T)" 3280 251430.7    .09333333
1 200405 "77 BANK (#T) - 77 BANK (#T)" 3320 254496.9   .012195121
1 200406 "77 BANK (#T) - 77 BANK (#T)" 3340 256030.1   .006024096
1 200407 "77 BANK (#T) - 77 BANK (#T)" 3635 278643.5    .08832335
1 200408 "77 BANK (#T) - 77 BANK (#T)" 3540 271361.2    -.0261348
1 200409 "77 BANK (#T) - 77 BANK (#T)" 3250   249131    -.0819209
1 200410 "77 BANK (#T) - 77 BANK (#T)" 3185 244148.4         -.02
1 200411 "77 BANK (#T) - 77 BANK (#T)" 3165 242615.3  -.006279435
1 200412 "77 BANK (#T) - 77 BANK (#T)" 3310 253730.4    .04581359
1 200501 "77 BANK (#T) - 77 BANK (#T)" 3605 276343.8    .08912387
1 200502 "77 BANK (#T) - 77 BANK (#T)" 3765 288608.7     .0443828
1 200503 "77 BANK (#T) - 77 BANK (#T)" 3745 287075.6  -.005312085
1 200504 "77 BANK (#T) - 77 BANK (#T)" 3895 298573.9     .0400534
1 200505 "77 BANK (#T) - 77 BANK (#T)" 3575 274044.1   -.08215661
1 200506 "77 BANK (#T) - 77 BANK (#T)" 3455 264845.4  -.033566434
1 200507 "77 BANK (#T) - 77 BANK (#T)" 3435 263312.3  -.005788712
1 200508 "77 BANK (#T) - 77 BANK (#T)" 3325 254880.2   -.03202329
1 200509 "77 BANK (#T) - 77 BANK (#T)" 3790 290525.1    .13984962
1 200510 "77 BANK (#T) - 77 BANK (#T)" 4190 321187.4     .1055409
1 200511 "77 BANK (#T) - 77 BANK (#T)" 4810 368713.9    .14797136
1 200512 "77 BANK (#T) - 77 BANK (#T)" 4440 340351.3   -.07692308
1 200601 "77 BANK (#T) - 77 BANK (#T)" 4480 343417.6   .009009009
1 200602 "77 BANK (#T) - 77 BANK (#T)" 4425 339201.5  -.012276785
1 200603 "77 BANK (#T) - 77 BANK (#T)" 4250 325786.7   -.03954802
1 200604 "77 BANK (#T) - 77 BANK (#T)" 4610 353382.8    .08470588
1 200605 "77 BANK (#T) - 77 BANK (#T)" 4515 346100.5  -.020607375
1 200606 "77 BANK (#T) - 77 BANK (#T)" 4100 314288.4   -.09191584
1 200607 "77 BANK (#T) - 77 BANK (#T)" 3955 303173.3  -.035365853
1 200608 "77 BANK (#T) - 77 BANK (#T)" 4100 314288.4   .036662452
1 200609 "77 BANK (#T) - 77 BANK (#T)" 4270 327319.9    .04146342
1 200610 "77 BANK (#T) - 77 BANK (#T)" 4120 315821.5  -.035128806
1 200611 "77 BANK (#T) - 77 BANK (#T)" 3825 293208.1   -.07160194
1 200612 "77 BANK (#T) - 77 BANK (#T)" 3915 300107.1    .02352941
1 200701 "77 BANK (#T) - 77 BANK (#T)" 3775 289375.3  -.035759896
1 200702 "77 BANK (#T) - 77 BANK (#T)" 4065 311605.4     .0768212
1 200703 "77 BANK (#T) - 77 BANK (#T)" 4170 319654.3    .02583026
1 200704 "77 BANK (#T) - 77 BANK (#T)" 3805 291674.9   -.08752998
1 200705 "77 BANK (#T) - 77 BANK (#T)" 3965 303939.8    .04204993
1 200706 "77 BANK (#T) - 77 BANK (#T)" 4100 314288.4    .03404792
1 200707 "77 BANK (#T) - 77 BANK (#T)" 3975 304706.4  -.030487806
1 200708 "77 BANK (#T) - 77 BANK (#T)" 3915 300107.1   -.01509434
1 200709 "77 BANK (#T) - 77 BANK (#T)" 3905 299340.5 -.0025542784
1 200710 "77 BANK (#T) - 77 BANK (#T)" 3835 293974.6  -.017925736
1 200711 "77 BANK (#T) - 77 BANK (#T)" 3925 300873.6   .023468057
1 200712 "77 BANK (#T) - 77 BANK (#T)" 3710 284392.6   -.05477707
1 200801 "77 BANK (#T) - 77 BANK (#T)" 3495 267911.7   -.05795148
1 200802 "77 BANK (#T) - 77 BANK (#T)" 3320 254496.9   -.05007153
1 200803 "77 BANK (#T) - 77 BANK (#T)" 3000 229967.1   -.09638554
1 200804 "77 BANK (#T) - 77 BANK (#T)" 2885 221151.7   -.03833333
1 200805 "77 BANK (#T) - 77 BANK (#T)" 3060 234566.4    .06065858
1 200806 "77 BANK (#T) - 77 BANK (#T)" 3365 257946.4     .0996732
1 200807 "77 BANK (#T) - 77 BANK (#T)" 3390 259862.8    .00742942
1 200808 "77 BANK (#T) - 77 BANK (#T)" 3165 242615.3   -.06637168
1 200809 "77 BANK (#T) - 77 BANK (#T)" 3070   235333    -.0300158
1 200810 "77 BANK (#T) - 77 BANK (#T)" 2730 209270.1   -.11074919
1 200811 "77 BANK (#T) - 77 BANK (#T)" 2265 173625.1   -.17032968
1 200812 "77 BANK (#T) - 77 BANK (#T)" 2240 171708.8  -.011037528
1 200901 "77 BANK (#T) - 77 BANK (#T)" 2420 185506.8    .08035714
1 200902 "77 BANK (#T) - 77 BANK (#T)" 2235 171325.4   -.07644628
1 200903 "77 BANK (#T) - 77 BANK (#T)" 2260 173241.9   .011185682
1 200904 "77 BANK (#T) - 77 BANK (#T)" 2465 188956.4    .09070797
1 200905 "77 BANK (#T) - 77 BANK (#T)" 2475 189722.9   .004056795
1 200906 "77 BANK (#T) - 77 BANK (#T)" 2665 204287.5    .07676768
1 200907 "77 BANK (#T) - 77 BANK (#T)" 2805 215019.3    .05253283
1 200908 "77 BANK (#T) - 77 BANK (#T)" 2795 214252.8  -.003565062
1 200909 "77 BANK (#T) - 77 BANK (#T)" 2800   214636  .0017889087
1 200910 "77 BANK (#T) - 77 BANK (#T)" 2500 191639.3   -.10714286
1 200911 "77 BANK (#T) - 77 BANK (#T)" 2680 205437.4         .072
1 200912 "77 BANK (#T) - 77 BANK (#T)" 2700 206970.4   .007462686
1 201001 "77 BANK (#T) - 77 BANK (#T)" 2465 188956.4   -.08703703
1 201002 "77 BANK (#T) - 77 BANK (#T)" 2385 182823.9   -.03245436
1 201003 "77 BANK (#T) - 77 BANK (#T)" 2410 184740.3    .01048218
1 201004 "77 BANK (#T) - 77 BANK (#T)" 2665 204287.5    .10580913
1 201005 "77 BANK (#T) - 77 BANK (#T)" 2680 205437.4   .005628518
1 201006 "77 BANK (#T) - 77 BANK (#T)" 2355 180524.2   -.12126866
1 201007 "77 BANK (#T) - 77 BANK (#T)" 2365 181290.8  .0042462847
1 201008 "77 BANK (#T) - 77 BANK (#T)" 2290 175541.6  -.031712472
1 201009 "77 BANK (#T) - 77 BANK (#T)" 2130 163276.7     -.069869
1 201010 "77 BANK (#T) - 77 BANK (#T)" 2115 162126.9  -.007042253
1 201011 "77 BANK (#T) - 77 BANK (#T)" 1875 143729.5   -.11347517
1 201012 "77 BANK (#T) - 77 BANK (#T)" 2030 155611.1    .08266667
1 201101 "77 BANK (#T) - 77 BANK (#T)" 2155 165193.1    .06157636
1 201102 "77 BANK (#T) - 77 BANK (#T)" 2225 170558.9   .032482598
1 201103 "77 BANK (#T) - 77 BANK (#T)" 2615 200454.8     .1752809
1 201104 "77 BANK (#T) - 77 BANK (#T)" 2090 160210.4    -.2007648
1 201105 "77 BANK (#T) - 77 BANK (#T)" 1885 144496.1   -.09808613
1 201106 "77 BANK (#T) - 77 BANK (#T)" 1640 125715.4   -.12997347
1 201107 "77 BANK (#T) - 77 BANK (#T)" 1775 136063.9    .08231708
1 201108 "77 BANK (#T) - 77 BANK (#T)" 1730 132614.4  -.025352113
1 201109 "77 BANK (#T) - 77 BANK (#T)" 1570 120349.4   -.09248555
1 201110 "77 BANK (#T) - 77 BANK (#T)" 1655 126865.2    .05414013
1 201111 "77 BANK (#T) - 77 BANK (#T)" 1580   121116   -.04531722
1 201112 "77 BANK (#T) - 77 BANK (#T)" 1470 112683.9   -.06962025
1 201201 "77 BANK (#T) - 77 BANK (#T)" 1660 127248.5     .1292517
end
Based on this dataset we calculated the 12-1 momentum returns for each portfolio and then created equal weighted portfolios as follows:

tsset firm_id date
egen quintiles_momentum = xtile(cumret121), by(date) nq(10)

forvalues i = 1(1)10 {
egen ew_return_quin_`i' = mean(ret) if quintiles_momentum==`i', by (date)
}

collapse ew_return*, by(date)
For the next step in our analysis Iwould like to calculate value weighted returns based on the market value, could you help me out with this?