Our group, Stata.Professor, provides paid help in a variety of empirical methods in finance and large data processing. The following models/methods represent a tentative list of what we offer, which means that our help is not limited only to these models/methods. If you want to apply a specific model/method which is not mentioned below, please feel free to inquire about that through our email address.
Asset Pricing Models
Testing of assets pricing models requires time-series returns of portfolios that are formed on size, book-to-market, leverage, beta, or any other criteria and factor returns that might include the market factor, SMB, HML, momentum, profitability, liquidity, investment, etc. One of the challenging tasks is to sort assets on a given criterion, make portfolios, calculate the portfolio returns in each period, and then rebalance the portfolios periodically if the underlying criteria of the portfolio formation changes with time.
We overcome such difficulties with the help of dedicated programs that we write in the Stata language. These programs not only reduce the chances of error that might occur if one tries to do all the analysis manually in a spreadsheet program such as MS Excel but also expedite the process and saves a considerable amount of time. Some of the well-known asset pricing models are given below:
▬ Testing CAPM using Fama and McBeth cross-sectional regressions
▬ Testing CAPM using time series regressions and then applying different tests based on regression intercepts
▬ Liquidity-adjusted capital asset pricing model (LCAPM) of Acharya and Pederson (2005)
▬ Testing Fama and French three-factor model using different tests of the regression intercepts
▬ Testing Fama and French five-factor model using different tests of the regression intercepts
▬ Testing the Carhart four-factor model
▬ Asset pricing models using generalized methods of moments (GMM) technique
▬ Any other model that requires factor development from portfolios of assets
While testing these models, the most common approach is to use portfolios to reduce noise in asset returns and to isolate the effects of different risk factors. Portfolios are created both for the left-hand side (LHS) and right-hand side (RHS) factors. Such portfolios are created from the intersection of the selected variable using dependent and independent sorts of the given variables.
We do not depend upon the ready-made factors as available for the US market from Fama and French website. Instead, we develop both the RHS and LHS factors using our Stata codes. The primary reason for doing so is that the ready-made factors are available only for limited markets.
Mutual Funds Performance Evaluation Techniques
Mutual funds research has attracted the attention of a large number of research studies. These studies have investigated mutual funds performance from a whole lot of angles such as whether mutual funds returns are predictable? Do mutual funds managers generate higher risk-adjusted returns as compared to naïve investors’ portfolios? Is mutual funds performance predictability affected by fund size? Which of the asset pricing models best explains mutual funds returns? While all these areas are interesting, the challenge remains in the way such hypotheses are tested. Specifically, portfolio formation, risk-adjusted returns calculations, measuring momentum in risk-adjusted returns, finding an association between measures of fund performance and fund characteristics across portfolio deciles that are formed on different criteria, and so on present a formidable challenge to researchers. We develop easy to use and easy-to-understand codes in Stata language to overcome such challenges.
Momentum and Contrarian Portfolio Strategies
The extant literature report evidence in support of predictability in equity and mutual fund returns. Studies show that asset prices exhibit short-run momentums and long-run reversals. These, in turn, provide opportunities to earn higher risk-adjusted profits. How to detect price momentums? What is the duration of momentum? For how long should we hold an asset or portfolio if we find momentum in its return(s)? How to test the economic and statistical significance of momentum profits? Do different types of weighting criteria affect momentum profits? How to test for different risk-based explanations of momentum profits? These questions can be answered only empirically. However, empirical testing methods are complex by nature and require extensive labor work. We have developed several Stata codes for constructing momentum strategies, with lots of variations in estimation techniques. We have also developed dedicated programs that simplify the development of momentum portfolios.
▬ Besides the above, we also offer paid help in the following models using Stata codes or general advice.
▬ Event studies
▬ Panel data analysis
▬ Time-series analysis including co-integration, GARCH/ ARACH/ VECM/ VAR etc
▬ Fama and McBeth two-pass regressions
▬ Rolling window regressions
▬ Earning management models such as Jones (1991) model, Kasznik (1991) model, Dechow et al (1995), and Kothari (2005) model
▬ Generalized methods of moments (GMM)
▬ Endogenous regressions with 2SLS, GMM, and fixed-effects models.
▬ Implied Cost of Equity models
▬ Credit risk models, Merton Model, KMV-Merton model
For further details, please contact us at: