## asrol Cumulative Returns Over 12-months, skipping the Current month

Anomaly Hunters has asked: How Can I find cumulative returns from month T-1 to T-12, i.e. not including the current month in the calculation. I want to do it on a rolling window for each firm. Let us use a small dataset. We shall create this dataset in Stata with the following code clear input byte [...]

## Step-by-Step: Portfolio Risk in Stata and Excel

Portfolio Risk in Excel To build our concept of the portfolio risk, we shall calculate it first manually in EXCEL, then we shall replicate the results using matrix notations in Stata. Consider the following set of returns for two assets, i.e asset A and B. A B .249917 .819483 .739069 .821416 .895491 .276843 .902722 .001586 [...]

## How Fama and French June to July Portfolios are Constructed?

The description of portfolios' construction given in various Fama and Fench papers is usually confusing for many researchers, especially those who are new to asset pricing models. The typical language used in Fama and French papers reads like this The size breakpoint for year t is the median NYSE market equity at the end of [...]

## fillmissing: Fill Missing Values in Stata

This post presents a quick tutorial on how to fill missing values in variables in Stata. This tutorial uses fillmissing program which can be downloaded by typing the following command in Stata command window ssc install fillmissing, replace Important Note: This post does not imply that filling missing values is justified by theory. [...]

## Export output of Table command from Stata to Word using asdoc

Exporting tables from table command was the most challenging part in asdoc programming. Nevertheless, asdoc does a pretty good job in exporting table from table command. asdoc accepts almost all options with table command, except cellwidth(#), stubwidth(#), and csepwidth(#). 7.1 One-way table Example 54 : One-way table; frequencies shown by default sysuse auto, [...]

## Customized tables using option row() of asdoc – Stata

This is rather a quick example of how to use option row() of asdoc for creating highly customized tables. We are interested in a table that is given bellow. *Load example dataset sysuse auto,clear *Write the header row of the table with table title asdoc, row(Dependent variable:domestic or foreign, Domestic mean/frequency, Domestic SD, Foreign [...]