Dear sir/madam,
I am currently doing research on top executive turnover and for this research I need to calculate cumulative industry adjusted stock returns.
My dataset is a S&P500 sample from ExecuComp. The sampel consists of fiscal year observations for different firms (panel data).
I want to combine my fiscal year observations from ExecuComp with monthly return data (from CRSP). I have monthly return data that I want to convert to annual returns.The idea is that annual returns = (1+first month ret) * (1+ second month return) * ........(1+ the 12th month return) - 1
In particular, I want to calculate for each ExecuComp firm year observation in my sample the industry adjusted stock return of the firm in the previous fiscal year.
E.g, If I have an year observation for company X, who's fiscal year runs from 1/jan/2010-31/dec/2010, I am interested in its stock return for the period 1/jan/2009-31/dec/2009. To calculate the industry adjusted stock return for a fiscal year observation of firm X in fiscal year "t", I need something like return firm X (t-1) - average industry return (t-1).
Industry return is the average return of same industry group as firm x, over the same period.
Since I have to deal with different fiscal years and different industry groups, how can this problem be programmed with Stata?
I attached a sample of my data. I have different identification codes available.
I am currently doing research on top executive turnover and for this research I need to calculate cumulative industry adjusted stock returns.
My dataset is a S&P500 sample from ExecuComp. The sampel consists of fiscal year observations for different firms (panel data).
I want to combine my fiscal year observations from ExecuComp with monthly return data (from CRSP). I have monthly return data that I want to convert to annual returns.The idea is that annual returns = (1+first month ret) * (1+ second month return) * ........(1+ the 12th month return) - 1
In particular, I want to calculate for each ExecuComp firm year observation in my sample the industry adjusted stock return of the firm in the previous fiscal year.
E.g, If I have an year observation for company X, who's fiscal year runs from 1/jan/2010-31/dec/2010, I am interested in its stock return for the period 1/jan/2009-31/dec/2009. To calculate the industry adjusted stock return for a fiscal year observation of firm X in fiscal year "t", I need something like return firm X (t-1) - average industry return (t-1).
Industry return is the average return of same industry group as firm x, over the same period.
Since I have to deal with different fiscal years and different industry groups, how can this problem be programmed with Stata?
I attached a sample of my data. I have different identification codes available.
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