Code:
* Example generated by -dataex-. For more info, type help dataex clear input int stock_id str10 month str52 stock float(pr mk rf) 1 "29-06-2001" "3M India Ltd." 380.1 1050.43 .000190118 1 "02-07-2001" "3M India Ltd." 380 1044.7 .000190118 1 "03-07-2001" "3M India Ltd." 382 1016.12 .000190118 1 "04-07-2001" "3M India Ltd." 373 1012.19 .000189043 1 "05-07-2001" "3M India Ltd." 370 1016.32 .000189043 1 "06-07-2001" "3M India Ltd." 363 1008.44 .000189043 1 "09-07-2001" "3M India Ltd." 370.1 1005.61 .000189043 1 "10-07-2001" "3M India Ltd." 365 1015.86 .000189043 1 "11-07-2001" "3M India Ltd." 365 1023.1 .000189043 1 "12-07-2001" "3M India Ltd." . 1045.89 .000189043 1 "13-07-2001" "3M India Ltd." 379.8 1047.82 .000189043 1 "16-07-2001" "3M India Ltd." 374.5 1043.17 .000189043 1 "17-07-2001" "3M India Ltd." 384 1038.48 .000189043 1 "18-07-2001" "3M India Ltd." . 1035.52 .000191194 1 "19-07-2001" "3M India Ltd." 380 1029.28 .000191194 1 "20-07-2001" "3M India Ltd." 367 1021.48 .000191194 1 "23-07-2001" "3M India Ltd." . 1017.91 .000191194 1 "24-07-2001" "3M India Ltd." 364 1007.34 .000191194 1 "25-07-2001" "3M India Ltd." 362.1 992.87 .000190118 1 "26-07-2001" "3M India Ltd." 345 983.87 .000190118 1 "27-07-2001" "3M India Ltd." 335 985.08 .000190118 1 "30-07-2001" "3M India Ltd." . 997.06 .000190118 1 "31-07-2001" "3M India Ltd." 325.1 1007.38 .000190118 1 "01-08-2001" "3M India Ltd." 321.35 1002.07 .000187969 1 "02-08-2001" "3M India Ltd." 318 1007.21 .000187969 1 "03-08-2001" "3M India Ltd." 323 1016.31 .000187969 1 "06-08-2001" "3M India Ltd." 332.5 1016.84 .000187969 1 "07-08-2001" "3M India Ltd." 332 1009.8 .000187969 1 "08-08-2001" "3M India Ltd." 330 1005.47 .000186894 1 "09-08-2001" "3M India Ltd." 330 1005.16 .000186894 1 "10-08-2001" "3M India Ltd." 325.9 1001.29 .000186894 1 "13-08-2001" "3M India Ltd." 330 991.02 .000186894 1 "14-08-2001" "3M India Ltd." 325 1004.51 .000184742 1 "16-08-2001" "3M India Ltd." 320 1006.83 .000184742 1 "17-08-2001" "3M India Ltd." 320 998.73 .000184742 1 "20-08-2001" "3M India Ltd." 301.3 993.36 .000184742 1 "21-08-2001" "3M India Ltd." 309.55 998.08 .000184742 1 "23-08-2001" "3M India Ltd." 305 998.48 .000184742 1 "24-08-2001" "3M India Ltd." 302.5 1001.45 .000184742 1 "27-08-2001" "3M India Ltd." 315 1005.27 .000184742 1 "28-08-2001" "3M India Ltd." 315 1003.13 .000184742 1 "29-08-2001" "3M India Ltd." . 1001.18 .000183666 1 "30-08-2001" "3M India Ltd." 323 999.71 .000183666 1 "31-08-2001" "3M India Ltd." . 986.25 .000183666 1 "03-09-2001" "3M India Ltd." 311.05 976.87 .000183666 1 "04-09-2001" "3M India Ltd." 324 980.81 .000183666 1 "05-09-2001" "3M India Ltd." 321 976.21 .000183666 1 "06-09-2001" "3M India Ltd." 316.9 967.46 .000183666 1 "07-09-2001" "3M India Ltd." 318 968.13 .000183666 1 "10-09-2001" "3M India Ltd." 317 965.93 .000183666 1 "11-09-2001" "3M India Ltd." 310 959.32 .000183666 1 "12-09-2001" "3M India Ltd." 303.85 924.96 .000187969 1 "13-09-2001" "3M India Ltd." 305.4 915.84 .000187969 1 "14-09-2001" "3M India Ltd." 290 861.02 .000187969 1 "17-09-2001" "3M India Ltd." 257.3 804.92 .000187969 1 "18-09-2001" "3M India Ltd." 280 836.2 .000187969 1 "19-09-2001" "3M India Ltd." 290 840.08 .000193344 1 "20-09-2001" "3M India Ltd." 278.95 826.37 .000193344 1 "21-09-2001" "3M India Ltd." 272 792.18 .000193344 1 "24-09-2001" "3M India Ltd." 271 815.18 .000193344 1 "25-09-2001" "3M India Ltd." 270 807.94 .000193344 1 "26-09-2001" "3M India Ltd." 261.5 821.67 .000187969 1 "27-09-2001" "3M India Ltd." 260 825.81 .000187969 1 "28-09-2001" "3M India Ltd." 266 850.56 .000187969 1 "01-10-2001" "3M India Ltd." 276.5 844.2 .000187969 1 "03-10-2001" "3M India Ltd." 270 832.46 .000184742 1 "04-10-2001" "3M India Ltd." 263.8 842.15 .000184742 1 "05-10-2001" "3M India Ltd." . 844.87 .000184742 1 "08-10-2001" "3M India Ltd." 273.5 831.16 .000184742 1 "09-10-2001" "3M India Ltd." 270 842.27 .000184742 1 "10-10-2001" "3M India Ltd." 278 861.97 .000185818 1 "11-10-2001" "3M India Ltd." 270 875.14 .000185818 1 "12-10-2001" "3M India Ltd." 265.5 878.54 .000185818 1 "15-10-2001" "3M India Ltd." 262.2 880.39 .000185818 1 "16-10-2001" "3M India Ltd." 259.85 891.59 .000185818 1 "17-10-2001" "3M India Ltd." 260 906.58 .000187969 1 "18-10-2001" "3M India Ltd." 261.9 890.81 .000187969 1 "19-10-2001" "3M India Ltd." 260 899.6 .000187969 1 "22-10-2001" "3M India Ltd." 265 903.64 .000187969 1 "23-10-2001" "3M India Ltd." 265 916.9 .000187969 1 "24-10-2001" "3M India Ltd." 261.6 912.92 .000178282 1 "25-10-2001" "3M India Ltd." 263.25 909.88 .000178282 1 "29-10-2001" "3M India Ltd." 265.85 911.35 .000178282 1 "30-10-2001" "3M India Ltd." 265 895.86 .000178282 1 "31-10-2001" "3M India Ltd." 270 902.84 .000180436 1 "01-11-2001" "3M India Ltd." 274.9 916.37 .000180436 1 "02-11-2001" "3M India Ltd." 265.95 918.84 .000180436 1 "05-11-2001" "3M India Ltd." 270 919.12 .000180436 1 "06-11-2001" "3M India Ltd." 275 932.31 .000180436 1 "07-11-2001" "3M India Ltd." 270.25 920.84 .000180436 1 "08-11-2001" "3M India Ltd." 274.75 931.26 .000180436 1 "09-11-2001" "3M India Ltd." 271.5 934.92 .000180436 1 "12-11-2001" "3M India Ltd." 273 942.81 .000180436 1 "13-11-2001" "3M India Ltd." 285 937.24 .000180436 1 "14-11-2001" "3M India Ltd." 289.9 950.69 .000180436 1 "15-11-2001" "3M India Ltd." 290 968.45 .000180436 1 "19-11-2001" "3M India Ltd." 297.2 997.2 .000180436 1 "20-11-2001" "3M India Ltd." 288 986.23 .000180436 1 "21-11-2001" "3M India Ltd." 290 994.23 .000180436 1 "22-11-2001" "3M India Ltd." 288 1003.35 .000180436 end
Code:
gen date1=date(month,"DMY") format date1 %td drop month rename date1 date gen mdate= mofd(date) format mdate %tm bysort stock_id (date): gen rt_r =((pr[_n]-pr[_n-1])/pr[_n-1]) bysort stock_id (date):gen mkt_r =((mk[_n]-mk[_n-1])/mk[_n-1]) gen rt = rt_r-rf gen mkt = mkt_r-rf gen month = month(date) gen year = year(date) rangestat (reg) rt mkt, interval(mdate -11 0) by(stock_id) collapse(mean) mdate reg_nobs stock_id b_mkt, by(stock year month) drop if mdate<ym(2002,6) drop if mdate>ym(2003,5) replace b_mkt =. if reg_nobs<200 rename b_mkt beta
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