In reference to the asdocx crosstab command “asdocx crosstab sz5 bm5, ret(mret) time(mdate) weight(MCAP)”, please how can I rightly include the risk factors in order generate a table with risk-adjusted alpha return of the portfolio sorting?
I tried the following command but got an error:
“asdocx crosstab STKTO STKPRICE, ret(mret mktrf smb hml) time(mdate) weight(MCAP)”
