Data Management
We have more than a decade of experience in data management, data cleaning, data merging, and data conversion.
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Stata Published Programs
Latest Projects
Stata Codes for Expected Idiosyncratic Skewness and Stock Returns – P603
In this project, we have developed Stata Codes for A Skewness Prediction Model. Boyer, Mitton, and Vorkink (2010) developed a model of expected skewness that incorporates past returns and trading volume as well as known firm characteristics. In this asset pricing model, they try to explain excess stock returns using trading volume, lagged skewness, and a set of control variables such as firm size, exchange dummy, stock momentum, and industry dummies as explanatory variables. What is included in our code?
Stata Codes | Absolute Strength Momentum in Stock Returns
We document a new pattern in stock returns that we call absolute strength momentum. Stocks that have significantly increased in value in the recent past (absolute strength winners) continue to gain, and stocks that have significantly decreased in value (absolute strength losers) continue to lose in the near future
Stata Code for Liquidity Adjusted (LCAPM) with Application of MGARCH
Liquidity Adjusted (LCAPM)Acharya and Pedersen (2005) presented a theoretical model to explain asset prices with four types of liquidity risks, thereby modifying the single-factor capital asset pricing model (CAPM) into a liquidity adjusted capital asset pricing model [...]
Published Stata Programs
We have published the following programs on the SSC. These programs are already very popular as indicated by their monthly download statistics. To download these programs, just type ssc install program name, where program name can be replaced by the relevant. program name.
