Dear STATA-Friends,
I am currently analyzing the time series behavior of a firm's profitability. Theory commonly expects that profitability reverts to an economy-wide mean value. Prior research graphically shows that this theoretical consideration is actually reasonable by creating 10-percentile portfolios (based on the profitability) and tracking the median profitability for each of these 10 portfolios for the next 5 years. My dataset contains:
Company ID
So my goal would be to create the portfolios in a base year (say fyear 2000) and track the development of the median profitability of each of the portfolios for the next 5 years (2000-2004).
I would be very thankful for any help. Also to illustrate what I am trying to code I will attach a picture.
Thank you so much in advance,
Greeting from Bosnia
MeanReversionGraph.pdf
I am currently analyzing the time series behavior of a firm's profitability. Theory commonly expects that profitability reverts to an economy-wide mean value. Prior research graphically shows that this theoretical consideration is actually reasonable by creating 10-percentile portfolios (based on the profitability) and tracking the median profitability for each of these 10 portfolios for the next 5 years. My dataset contains:
Company ID
| Company ID | Profitability | Financial Year | ||
| 1 | 0,07 | 2001 | ||
| 2 | 0,09 | 2001 | ||
| 1 | 0,03 | 2002 | ||
| 2 | 0,1 | 2002 | ||
| 3 | 0,15 | 2002 | ||
| etc. | etc. | etc. |
So my goal would be to create the portfolios in a base year (say fyear 2000) and track the development of the median profitability of each of the portfolios for the next 5 years (2000-2004).
I would be very thankful for any help. Also to illustrate what I am trying to code I will attach a picture.
Thank you so much in advance,
Greeting from Bosnia
MeanReversionGraph.pdf
