I have a question on Eviews Program Code on sorting stocks to form portfolios.
I have a list of monthly stock returns (f1 to f200) and 2 loadings (Beta1 to Beta200 and Teta1 to Teta200) and 3 Fama French factors (market:rm, Small minus Big:smb, High minus low:hml).
I need to:
1- Sort the stocks in the sample into three portfolios based on Beta loading (Beta 1 to Beta200).
2- Sort each of the above three portfolios into terciles based on Teta loading (Teta 1 to Teta200).
3- This sequential sorting should result in 9 portfolios each month based on Beta and Teta
4- Run rolling regression for each of the 9 portfolio returns on 3 Fama French factors (market, SMB and HML)
Could anyone help me with the Eviews code for sorting the stocks into 9 portfolios (3 by first loading and later 3 by second loading) to form portfolios?
Thanks in advance for your help.
PS: I have the data available for those interested to try the code
For questions regarding programming in the EViews programming language.
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