Just require a slight change in it. That is now portfolios (groups) have to made using dependent sorts by mdate. From June month onwards, first to be cut into 5 groups based on previous month mcap and then within each mcap group again to be cut into 5 groups (quintiles) based on previous month idiovol. The value-weighted returns are to be updated each month with previous month mcap. The code with data example is appended.
Code:
gen moy = month(dofm(mdate))
gen year = year(dofm(mdate))
// CREATE A "FISCAL YEAR" RUNNING FROM JULY THROUGH SUBSEQUENT JUNE
gen fyear = cond(moy > 6, year, year-1)
frame put stock_id fyear mcap idiovol if moy == 6, into(mcap_idiovol_work)
frame change mcap_idiovol_work
collapse (count) n_mcap = mcap n_idiovol = idiovol (firstnm) mcap idiovol, by(stock_id fyear)
assert n_mcap <= 1 & n_idiovol <= 1 // VERIFY UNIQUE VALUE OF MCAP AND idiovol
replace fyear = fyear + 1 // CHANGE THE FYEAR TO WHICH THEY WILL APPLY
rename (mcap idiovol) prior_june_=
frame change default
frlink m:1 stock_id fyear, frame(mcap_idiovol_work)
frget prior_june_*, from(mcap_idiovol_work)
frame drop mcap_idiovol_work
drop mcap_idiovol_work
egen byte representative = tag(stock_id fyear)
tab representative
// QUINTILES BASED ON PREVIOUS FY JUNE VALUE OF mcap AND idiovol
capture program drop double_quintiles
program define double_quintiles
capture assert missing(prior_june_mcap)
if `c(rc)' {
xtile mcap_group = prior_june_mcap, nq(5)
}
capture assert missing(prior_june_idiovol)
if `c(rc)' {
xtile idiovol_group = prior_june_idiovol, nq(5)
}
exit
end
frame put stock_id fyear prior_june_mcap prior_june_idiovol if representative, into(representatives)
frame change representatives
runby double_quintiles, by(fyear) verbose
frame change default
frlink m:1 stock_id fyear, frame(representatives stock_id fyear) // ***
frget mcap_group idiovol_group, from(representatives)
frame drop representatives
drop representatives representative
capture program drop one_weighted_return
program define one_weighted_return
egen numerator = total(lagged_mcap*rt)
egen denominator = total(lagged_mcap)
gen vw_mean_rt = numerator/denominator
egen unwtd_mean_rt = mean(rt)
exit
end
xtset stock_id mdate
gen lagged_mcap = L1.mcap
drop if missing(mcap_group, idiovol_group)
runby one_weighted_return, by(mdate mcap_group idiovol_group)
collapse (first) vw_mean_rt unwtd_mean_rt, by(mdate mcap_group idiovol_group)
drop if missing(vw_mean_rt)
keep mdate mcap_group idiovol_group *_mean_rt
gen str32 group = "q" + string(mcap_group) +"_idiovol_q" +string(idiovol_group) + "_"
drop *_group
reshape wide vw_mean_@rt unwtd_mean_@rt, i(mdate) j(group) stringCode:
* Example generated by -dataex-. To install: ssc install dataex clear input int stock_id str52 stock float(date mdate rt mcap idiovol) 1 "3M India Ltd." 22067 725 . 21170.67 .09459936 1 "3M India Ltd." 22097 726 .12113695 23735.22 .05236398 1 "3M India Ltd." 22128 727 -.037226338 22851.65 .0842787 1 "3M India Ltd." 22159 728 -.0958004 20662.45 .04649255 1 "3M India Ltd." 22189 729 .0222412 21122.01 .05208552 1 "3M India Ltd." 22220 730 .16466135 24599.98 .07155111 1 "3M India Ltd." 22250 731 -.04579532 23473.42 .037118677 1 "3M India Ltd." 22281 732 -.08161782 21557.57 .05653918 1 "3M India Ltd." 22312 733 .20678906 26015.44 .1024171 1 "3M India Ltd." 22340 734 .3093739 34063.94 .0761481 1 "3M India Ltd." 22371 735 -.15384005 28823.54 .11266434 1 "3M India Ltd." 22401 736 -.004385145 28697.15 .0739418 1 "3M India Ltd." 22432 737 -.04418543 27429.15 .03292042 2 "A B B India Ltd." 22067 725 . 19995.67 .10871843 2 "A B B India Ltd." 22097 726 -.05150485 18965.8 .067627124 2 "A B B India Ltd." 22128 727 .06201117 20141.89 .06322751 2 "A B B India Ltd." 22159 728 -.09579168 18212.47 .06247413 2 "A B B India Ltd." 22189 729 .04403976 19014.54 .0660737 2 "A B B India Ltd." 22220 730 .19658974 22752.6 .14531854 2 "A B B India Ltd." 22250 731 .1289467 25686.47 .09560207 2 "A B B India Ltd." 22281 732 .14499031 29410.76 .08255054 2 "A B B India Ltd." 22312 733 .103934 32467.54 .11415926 2 "A B B India Ltd." 22340 734 -.07489476 30035.89 .06083263 2 "A B B India Ltd." 22371 735 -.024446186 29301.63 .05801463 2 "A B B India Ltd." 22401 736 .2062195 35344.2 .07539472 2 "A B B India Ltd." 22432 737 .08282872 38271.71 .06517829 3 "A B B Power Products & Systems India Ltd." 22067 725 . 3566.42 .016075514 3 "A B B Power Products & Systems India Ltd." 22097 726 .06625074 3802.7 .03139144 3 "A B B Power Products & Systems India Ltd." 22128 727 .022067415 3886.61 .124328 3 "A B B Power Products & Systems India Ltd." 22159 728 .008996238 3921.58 .05144717 3 "A B B Power Products & Systems India Ltd." 22189 729 .04031124 4079.66 .09119125 3 "A B B Power Products & Systems India Ltd." 22220 730 .19031797 4856.09 .11065537 3 "A B B Power Products & Systems India Ltd." 22250 731 .12842546 5479.74 .14846125 3 "A B B Power Products & Systems India Ltd." 22281 732 -.06635982 5116.1 .05424834 3 "A B B Power Products & Systems India Ltd." 22312 733 .19243667 6100.63 .1228909 3 "A B B Power Products & Systems India Ltd." 22340 734 -.05012324 5794.85 .08472132 3 "A B B Power Products & Systems India Ltd." 22371 735 .3193519 7645.44 .096315 3 "A B B Power Products & Systems India Ltd." 22401 736 .07594446 8226.07 .0819109 3 "A B B Power Products & Systems India Ltd." 22432 737 -.0265334 8007.81 .05989602 4 "A C C Ltd." 22067 725 . 25013.26 .05451617 4 "A C C Ltd." 22097 726 .069632135 26754.99 .06367326 4 "A C C Ltd." 22128 727 -.072398685 24817.96 .04167877 4 "A C C Ltd." 22159 728 .05466858 26174.73 .0552238 4 "A C C Ltd." 22189 729 .1826237 30954.85 .06496176 4 "A C C Ltd." 22220 730 .033274677 31984.87 .05231039 4 "A C C Ltd." 22250 731 -.04981651 30391.49 .06558764 4 "A C C Ltd." 22281 732 -.008403346 30136.1 .05752963 4 "A C C Ltd." 22312 733 .07985412 32542.59 .05743942 4 "A C C Ltd." 22340 734 .09786785 35727.47 .07591277 4 "A C C Ltd." 22371 735 -.01064361 35347.2 .05981381 4 "A C C Ltd." 22401 736 .05506556 37293.61 .03130351 4 "A C C Ltd." 22432 737 .015156523 37858.85 .035984043 5 "A I A Engineering Ltd." 22067 725 . 15157.76 .11163152 5 "A I A Engineering Ltd." 22097 726 .027659345 15577.01 .07996228 5 "A I A Engineering Ltd." 22128 727 .09109897 16996.06 .08275808 5 "A I A Engineering Ltd." 22159 728 .02483421 17418.14 .11070403 5 "A I A Engineering Ltd." 22189 729 -.07970973 16029.75 .08087932 5 "A I A Engineering Ltd." 22220 730 .09799944 17600.65 .07386222 5 "A I A Engineering Ltd." 22250 731 .05433933 18557.06 .13231656 5 "A I A Engineering Ltd." 22281 732 -.006378778 18438.69 .0978856 5 "A I A Engineering Ltd." 22312 733 -.069492035 17157.35 .06436446 5 "A I A Engineering Ltd." 22340 734 .12583485 19316.34 .06380035 5 "A I A Engineering Ltd." 22371 735 -.09013891 17575.19 .04568206 5 "A I A Engineering Ltd." 22401 736 .036788605 18221.75 .071264036 5 "A I A Engineering Ltd." 22432 737 .10758837 20182.2 .0423352 6 "A P L Apollo Tubes Ltd." 22067 725 . 3877.83 .06370289 6 "A P L Apollo Tubes Ltd." 22097 726 .17386007 4552.02 .1343903 6 "A P L Apollo Tubes Ltd." 22128 727 .3133195 5991.94 .09383714 6 "A P L Apollo Tubes Ltd." 22159 728 .21373597 7272.35 .08646914 6 "A P L Apollo Tubes Ltd." 22189 729 .07821232 7844.95 .0876136 6 "A P L Apollo Tubes Ltd." 22220 730 .06770723 8380.35 .066069156 6 "A P L Apollo Tubes Ltd." 22250 731 .3168597 11039.03 .1009317 6 "A P L Apollo Tubes Ltd." 22281 732 .024552327 11309.81 .08637045 6 "A P L Apollo Tubes Ltd." 22312 733 .18087743 13355.64 .0683895 6 "A P L Apollo Tubes Ltd." 22340 734 .308549 17492.31 .17121236 6 "A P L Apollo Tubes Ltd." 22371 735 -.07057284 16257.71 .11828837 6 "A P L Apollo Tubes Ltd." 22401 736 .000199746 16260.83 .1114527 6 "A P L Apollo Tubes Ltd." 22432 737 .25072974 20338.06 .09736723 7 "A U Small Finance Bank Ltd." 22067 725 . 16631.81 .14167368 7 "A U Small Finance Bank Ltd." 22097 726 .3679993 22756.09 .14123882 7 "A U Small Finance Bank Ltd." 22128 727 -.10127266 20454.26 .09675895 7 "A U Small Finance Bank Ltd." 22159 728 -.019779654 20052.01 .08047066 7 "A U Small Finance Bank Ltd." 22189 729 .18596646 23781.35 .09965545 7 "A U Small Finance Bank Ltd." 22220 730 .07920858 25679.42 .09570134 7 "A U Small Finance Bank Ltd." 22250 731 .017856091 26141.96 .07963484 7 "A U Small Finance Bank Ltd." 22281 732 .02446606 26783.51 .05495229 7 "A U Small Finance Bank Ltd." 22312 733 .29087684 34609.04 .09901675 7 "A U Small Finance Bank Ltd." 22340 734 .08806566 38285.17 .13246192 7 "A U Small Finance Bank Ltd." 22371 735 -.18169214 31333.9 .1121216 7 "A U Small Finance Bank Ltd." 22401 736 -.01619413 30881.87 .10038955 7 "A U Small Finance Bank Ltd." 22432 737 .05019245 32443.73 .08761825 8 "Aarti Drugs Ltd." 22067 725 . 2961.31 .13313535 8 "Aarti Drugs Ltd." 22097 726 .3679424 4050.94 .14255284 8 "Aarti Drugs Ltd." 22128 727 .5628667 6331.08 .335134 8 "Aarti Drugs Ltd." 22159 728 .13580157 7190.85 .0926184 8 "Aarti Drugs Ltd." 22189 729 -.11878681 6336.67 .20832872 8 "Aarti Drugs Ltd." 22220 730 .05213995 6667.06 .10740176 8 "Aarti Drugs Ltd." 22250 731 -.01383933 6574.79 .06569554 8 "Aarti Drugs Ltd." 22281 732 -.04465235 6281.21 .08209758 8 "Aarti Drugs Ltd." 22312 733 -.06402556 5879.06 .05586975 end format %td date format %tm mdate
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