Estimating the yearly idiosyncratic risk of the NYSE stock incidences with a Farma French regression
Hello,
As a part of my current master thesis I’m trying to plot the yearly idiosyncratic risk of the NYSE stock incidences from 1980-2021, with the residuals from Farma- French 3 factor model with monthly data.
My data is sorted as a panel where PERMNO codes identify each company are ilustrated in the attached picture.
After defining permno and date with the xtset command i try to run the regression by date : asreg vwretd mktrf smb hml fit , to obtain the yearly residuals from the entire set. However, to code doesn’t provide any residuals that makes sense, while the MKT-RF coefficient is the only coefficient that is estimated on a regular basis. Does anybody have a suggestion on how I can obtain my wanted residuals?
Best regards Tim
As a part of my current master thesis I’m trying to plot the yearly idiosyncratic risk of the NYSE stock incidences from 1980-2021, with the residuals from Farma- French 3 factor model with monthly data.
My data is sorted as a panel where PERMNO codes identify each company are ilustrated in the attached picture.
After defining permno and date with the xtset command i try to run the regression by date : asreg vwretd mktrf smb hml fit , to obtain the yearly residuals from the entire set. However, to code doesn’t provide any residuals that makes sense, while the MKT-RF coefficient is the only coefficient that is estimated on a regular basis. Does anybody have a suggestion on how I can obtain my wanted residuals?
Best regards Tim
Attached Files
