Calculate conditional holding period return

[Linh Nguyen]

Hi everyone,

I want to calculate the holding period return for the buy strategies (buy50 ==1) and sell strategies (sell50 == 1) as follows:

For buy strategies:

• HPRB1 = return in 547 + return in 548 + return in 549
• HPRB2 = return in 554 +...+ return in 559

For sell strategies:

• HPRS1 = return in 550 + return in 551+ return in 552
• HPRS2 = return in 560 +...+ return in 566

Is there anyone who can show me how to use Stata code to calculate these HPRs?

Thanks in advance.

Best

* Example generated by -dataex-. To install: ssc install dataex
clear
input float(time return buy50 sell50)
547   .0011799157 1 .
548   -.002749759 1 .
549  -.0005252221 1 .
550   -.003809786 . 1
551  -.0003956057 . 1
552 .000065926826 . 1
553   .0005276818 . 1
554   .0008570432 1 .
555    .003490968 1 .
556   -.000787728 1 .
557  .00013140822 1 .
558   .0009851815 1 .
559   -.001312316 1 .
560  -.0015111414 . 1
561   -.001974094 . 1
562   .0003955796 . 1
563   .0019113462 . 1
564    .002696937 . 1
565   -.005510702 . 1
566    .002770619 . 1
567   .0041444963 . 1
end

[Øyvind Snilsberg]

egen HPRB1 = total(return) if inrange(time,547,549)

etc. or,

gen group = sum(buy50!=buy50[_n-1])
collapse (sum) return, by(group)

[Linh Nguyen]

[CODE]

gen group = sum(buy50!=buy50[_n-1])
collapse (sum) return, by(group)

It is super. This is what I need.

Thanks Snilsberg