What drives stock returns of banks: Stata codes

In this project, we investigated the factors that can explain variations in the market returns of banks. We wrote Stata codes to complete the following tasks:

1.Form 6 portfolios from two-size groups and 3-book-to-market ratio

2. Use these portfolios to create HML and SMB factors

3. Add 2 interest factors and 2 strategy factors

4. Make the lef hand side (LHS) portfolios from the intersection of 5-size and 5-book-to-market groups of firms

5. regress the excess returns of the LHS portfolios on the variables mentioned in 1-3 above.

6. Further variations based on firms size and deposit to total asset ratio

Customization of the code

The codes can be further customized as per a given research design. For further details and pricing, please contact us at


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