How Create size-based portfolios and estimate cross-sectional regressions

[Inromi Zack]

#2889

I want to two groups based on size of the firm. The groups should be based on median size of firms in each year. Then I want estimate a cross-sectional regression by year and the size-based groups. I wonder how the setup would look like and would be thankful if someone can share the Stata code
Thank you.

[Attaullah Shah]

#2900

If you want to create two groups of firms in each year, then something like the following will work:

* For creating two groups of firms in each year, I am using astile. More on astile here

ssc install astile, replace

*Download example data
webuse grunfeld, clear

*Create two groups based on mvalue
bys year: astile size = mvalue, nq(2)

*Cross-sectional regression
*For Cross-sectional regression, install asreg, more on asreg here

ssc install asreg, replace

*Yearly cross-sectional regression for each size group
bys size year: asreg  invest mvalue kstock

• This reply was modified 4 years, 4 months ago by Attaullah Shah.
• This reply was modified 4 years, 4 months ago by Attaullah Shah.
• This reply was modified 4 years, 4 months ago by Attaullah Shah.
• This reply was modified 4 years, 4 months ago by Attaullah Shah.
• This reply was modified 4 years, 3 months ago by Attaullah Shah.
• This reply was modified 4 years, 3 months ago by Attaullah Shah.
• This reply was modified 4 years, 3 months ago by Attaullah Shah.

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