asm | J-K Momentum Portfolios in StataA large number of research papers have provided a pervasive evidence in support of momentum strategy. In a seminal paper, Jagadesh and Titman (1993) show that buying past winners stock and selling past loser stocks (a zero-investment momentum portfolio) yield significant positive returns over three to twelve months period. Following them, a large number of studies report similar results for both local and international markets (see, e.g, Geert, 1998). Even today, this area attracts researchers in a variety of ways and investment avenues. One common problem with momentum portfolios construction is the extensive labor work using conventional spread sheet programs such MS Excel, specifically constructing portfolios in overlapping fashion. To overcome this issue, I have written an easy to use Stata® program, asm.ado, that offers a large number of options which have been used in the the momentum literature. This program employs well-known momentum portfolio strategies as suggested in Jagadesh and Titman (1993) and many other options suggested in subsequent papers. This program is equally useful for academics and practitioners. The program offers the the following features: 1.Formation Period | J-Period Portfolios 2. Portfolios’ Ranking | Ranking Deciles The formation period portfolios can be formed on any given deciles of stock returns such as top and bottom 10%, 20%, or 30% stocks or any other user defined ranking criteria. The default option is top 10% winner stocks and bottom 10% loser stocks 3. Holding Period | K-Period Portfolios 4. Skip Periods | Skip Periods between J and K 5. File Output | Returns to winners and losers 6. Cumulative Returns | Cumulative holding returns 7. t-tests Results | File output 8. Newey Results | MS Word File output 9. Weekly and Monthly | Converting from daily to weekly or monthly 10. Program Manual | Examples and Explanations Program PricingThe program is available for a nominal price of $79.99 (or £56), a six months single user license and for $199 (£149) for life-time perpetual license . Payments can be made through Paypal / Debit Card / Credit Card or Bank Transfer. To place your order, click on the add to cart button below. Contact for any other purchase information at attaullah.shah@imsciences.edu.pk |
asm: Stata Program to construct J-K Momentum PortfoliosAttaullah Shah2021-11-16T09:30:03+05:00