Calculation of rolling Stock beta

[Masoud Azizkhani]

Hi all,
I am using a cross sectional event study. I need to calculate stock beta over a 50 weeks before and after a date (10-K date) for around 700 firms. I have the the daily stock and market returns. I wonder if there is any code that I can use to calculate the stock beta.
any help is much appreciated.

[Clyde Schechter]

Welcome to Statalist. May I suggest that you read the Forum FAQ for excellent advice on how to post questions in ways that enhance your chances of getting a timely and helpful response. Among the things you will learn there:

1. Don't use jargon from your discipline. This is an interdisciplinary forum, and the only knowledge we all share is Stata and statistics. While many here work in finance, many others do not. By using terms like "stock beta" you limit the range of people who can respond to your question. Better to talk about a particular kind of regression you would like to carry out and the coefficient you want to capture from it.

2. Keep things consistent. In the title of your post you refer to a "rolling" analysis, but in the post itself you refer just to before vs after. Which is it?

3. Whenever you ask for help with code, you must, must, must, show an example of your data. The code will necessarily depend on details that cannot be gleaned from even a detailed description, let alone a casual one. You will also learn there, in FAQ #12, that the helpful way to show example data is with the -dataex- command, and you will find instructions there for how to get the -dataex- command if you do not already have it.

4. Questions like yours appear frequently on Statalist. While there may well be specific details of your problem or your data that make it different from all the earlier ones, you still might make a good start on it by searching the Forum for other posts on this and closely related topics. Conceivably you will find exactly what you are looking for.