Ranking Data and form portfolios
Posted: Wed Sep 12, 2012 1:44 pm
Hi:
I have 100 firms stock returns and some kind of beta coefficients of each firm ; monthly data for 30 years.
Some returns are NAs.
My task is:
1)For each month, ranking betas from low to high, form 10 portfolios. Each portfolio has 10 stocks (if the stock return is not NAs). But if there are some NA for stock returns then ignore that stock. For example, for a month, 10 stock returns are NAs, then each portfolio will have 9 stocks instead of 10.
2)find the simple average returns of each portfolio in each monthly.
3) find the simple average returns of the bottom 5 portfolio and top 5 portfolio
4) form a factor loading such like market factor SMB
The last 2 steps are easy, but I have a big problem to process the first 2 steps
Could anyone please kind help out?
Thank you so much
I have 100 firms stock returns and some kind of beta coefficients of each firm ; monthly data for 30 years.
Some returns are NAs.
My task is:
1)For each month, ranking betas from low to high, form 10 portfolios. Each portfolio has 10 stocks (if the stock return is not NAs). But if there are some NA for stock returns then ignore that stock. For example, for a month, 10 stock returns are NAs, then each portfolio will have 9 stocks instead of 10.
2)find the simple average returns of each portfolio in each monthly.
3) find the simple average returns of the bottom 5 portfolio and top 5 portfolio
4) form a factor loading such like market factor SMB
The last 2 steps are easy, but I have a big problem to process the first 2 steps
Could anyone please kind help out?
Thank you so much