Converting monthly stock return to daily stock return.

[Satyam Siven Swain]

I have used ascol command in stata to convert daily return (raw data) to monthly return. I now intend to convert this monthly return back to daily return. Can ascol command help here? I would like to know the syntax for this conversion (monthly to daily).

Thanks in advance for your insights on this!

Best Regards,
Satyam.

[Clyde Schechter]

When you aggregated up from daily to monthly information, you discarded the fine-grained information, and it cannot be recovered. There are many possible combinations of daily returns over a month that result in the same monthly return--it is impossible to go back.

If you wish, you can assume that the daily return was the same on each day of the month. Then in that case, you can do this:

gen daily = 100*((1+monthly/100)^(1/daysinmonth(date))-1)

where monthly is a variable containing the monthly return (as a percentage), and date is the daily date (as a Stata internal format daily date variable). The resulting variable daily gives the corresponding daily return as a percentage.