Dear Stata users. I am replicating a paper where they do this method: Each day, we sort stocks into deciles on the basis of that day’s abnormal trading volume.11 We further subdivide the decile of stocks with the greatest abnormal trading volume into two vingtiles (i.e., 5% partitions). I wanted to recreate it using this data, but I have no idea what the best solution will be. my database looks like this. In my dataset i only have trading days so a year is only 252 days. I also got another question, because i want to use a time series to calculate the mean, but as you see i have a lot of the same date. is there any way to work around this?
PERMNO date TICKER COMNAM SHRFLG VOL RET SHROUT NUMTRD total_volume avg_return_total_market return_vs_market obs_position flag VOL_mean abnormal_volume
81774 03jan2000 FCX FREEPORT MCMORAN COPPER & GOLD 727500 .00295858 98738 7.49e+08 -.0136474 .016606 1 1 419300 308200
11600 03jan2000 XRAY DENTSPLY INTERNATIONAL INC NEW 0 195363 -.005291005 52800 216 7.49e+08 -.0136474 .0083564 1 1 195363 0
75034 03jan2000 BHI BAKER HUGHES INC 1468699 -.038575668 328850 7.49e+08 -.0136474 -.0249282 1 1 1468699 0
82621 03jan2000 MS MILESTONE SCIENTIFIC INC 32400 .07692308 8765 7.49e+08 -.0136474 .0905705 1 1 32400 0
11170 03jan2000 MEC MIDAMERICAN ENERGY HLDGS CO NEW 253200 .005565863 59868 7.49e+08 -.0136474 .0192133 1 1 253200 0
27828 03jan2000 HWP HEWLETT PACKARD CO 4170699 .032417584 1019000 7.49e+08 -.0136474 .046065 1 1 4170699 0
53065 03jan2000 IPG INTERPUBLIC GROUP COS INC 948700 -.058504876 280652 7.49e+08 -.0136474 -.0448574 1 1 948700 0
86158 03jan2000 CTSH COGNIZANT TECHNOLOGY SOLS CORP 85703 -.121783875 3549 387 7.49e+08 -.0136474 -.1081364 1 1 85703 0
64899 03jan2000 CDB CANANDAIGUA BRANDS 0 -.001112347 3158 7.49e+08 -.0136474 .0125351 2 1 54300 -54300
22103 03jan2000 EMR EMERSON ELECTRIC CO 1123399 .003267974 432199 7.49e+08 -.0136474 .0169154 1 1 1123399 0
52038 03jan2000 SYY SYSCO CORP 616600 -.036334913 329380 7.49e+08 -.0136474 -.0226875 1 1 616600 0
81599 03jan2000 ANET A C T NETWORKS INC 309973 .033557046 10240 375 7.49e+08 -.0136474 .0472045 1 1 309973 0
87299 03jan2000 AKAM AKAMAI TECHNOLOGIES INC 288667 -.019458221 91442 1088 7.49e+08 -.0136474 -.0058108 1 1 288667 0
61241 03jan2000 AMD ADVANCED MICRO DEVICES INC 3921599 .071274295 147770 7.49e+08 -.0136474 .0849217 1 1 3921599 0
81910 03jan2000 AVZ AMVESCAP PLC 4500 -.013274336 4548 7.49e+08 -.0136474 .0003731 1 1 4500 0
82642 03jan2000 EL LAUDER ESTEE COS INC 809500 -.017348204 123282 7.49e+08 -.0136474 -.0037008 1 1 809500 0
76230 03jan2000 TRMB TRIMBLE NAVIGATION LTD 0 1349393 .150289014 22556 2408 7.49e+08 -.0136474 .1639364 1 1 1349393 0
87717 03jan2000 EXPD EXPEDITORS INTERNATIONAL WA INC 0 263120 -.014265335 50446 177 7.49e+08 -.0136474 -.0006179 1 1 263120 0
27887 03jan2000 BAX BAXTER INTERNATIONAL INC 1053299 -.022885572 290931 7.49e+08 -.0136474 -.0092381 1 1 1053299 0
11618 03jan2000 FAST FASTENAL CO 0 119717 -.055632822 37939 255 7.49e+08 -.0136474 -.0419854 1 1 119717 0
79678 03jan2000 ATVI ACTIVISION INC NEW 0 603464 .073469386 25032 551 7.49e+08 -.0136474 .0871168 1 1 603464 0
84262 03jan2000 STLD STEEL DYNAMICS INC 0 67421 0 47953 170 7.49e+08 -.0136474 .0136474 1 1 67421 0
87432 03jan2000 A AGILENT TECHNOLOGIES INC 3343299 -.068714634 445000 7.49e+08 -.0136474 -.0550672 1 1 3343299 0
43123 03jan2000 ATI ALLEGHENY TECHNOLOGIES 401800 -.011142061 93557 7.49e+08 -.0136474 .0025054 1 1 401800 0
26331 03jan2000 ADP ALLIED PRODUCTS CORP DE 10200 .01754386 11847 7.49e+08 -.0136474 .0311913 1 1 10200 0
58077 03jan2000 AIF ACCEPTANCE INSURANCE COS INC 61100 -.065217391 14254 7.49e+08 -.0136474 -.05157 1 1 61100 0
42112 03jan2000 PSG P S GROUP HOLDINGS INC 3800 -.022222223 6068 7.49e+08 -.0136474 -.0085748 1 1 3800 0
23544 03jan2000 AWK AMERICAN WATER WORKS INC 202800 -.011764706 96915 7.49e+08 -.0136474 .0018827 1 1 202800 0
77129 03jan2000 KIM KIMCO REALTY CORP 53600 0 60731 7.49e+08 -.0136474 .0136474 1 1 53600 0
76082 03jan2000 COG CABOT OIL & GAS CORP 108900 -.077821009 25073 7.49e+08 -.0136474 -.0641736 1 1 108900 0
85792 03jan2000 PWR QUANTA SERVICES INC 64000 -.002212389 33557 7.49e+08 -.0136474 .011435 1 1 64000 0
26607 03jan2000 COP CONSOLIDATED PRODUCTS INC 32300 -.012345679 29273 7.49e+08 -.0136474 .0013017 1 1 32300 0
14008 03jan2000 AMGN AMGEN INC 1 23269943 .047866806 1018048 2.6e+04 7.49e+08 -.0136474 .0615142 1 1 23269943 0
48282 03jan2000 CMI C M I CORP OKLA 17300 .008849557 21551 7.49e+08 -.0136474 .022497 1 1 17300 0
75469 03jan2000 ACN ACUSON CORP 49000 -.004975124 26722 7.49e+08 -.0136474 .0086723 1 1 49000 0
45911 03jan2000 AHAA ALPHA INDUSTRIES INC 0 257167 .095965102 19529 328 7.49e+08 -.0136474 .1096125 1 1 257167 0
82598 03jan2000 NTAP NETWORK APPLIANCE INC 1 3342782 .023325808 149338 4798 7.49e+08 -.0136474 .0369732 1 1 3342782 0
28804 03jan2000 ALK ALASKA AIRGROUP INC 225100 -.003558719 26403 7.49e+08 -.0136474 .0100887 1 1 225100 0
81481 03jan2000 DLTR DOLLAR TREE STORES INC 478191 .009032258 62025 835 7.49e+08 -.0136474 .0226797 1 1 478191 0
24109 03jan2000 AEP AMERICAN ELECTRIC POWER CO INC 396900 -.021400778 194103 7.49e+08 -.0136474 -.0077534 1 1 396900 0
24053 03jan2000 WR WESTERN RESOURCES INC 419600 -.025830258 68092 7.49e+08 -.0136474 -.0121828 1 1 419600 0
84767 03jan2000 ARE ALEXANDRIA REAL EST EQUITIES INC 48500 -.017681729 13741 7.49e+08 -.0136474 -.0040343 1 1 48500 0
83946 03jan2000 LTBG LIGHTBRIDGE INC 337821 -.009009009 16465 366 7.49e+08 -.0136474 .0046384 1 1 337821 0
78987 03jan2000 MCHP MICROCHIP TECHNOLOGY INC 0 869456 -.007305936 50848 1218 7.49e+08 -.0136474 .0063415 1 1 869456 0
83621 03jan2000 ANSS ANSYS INC 13230 .005681818 16228 16 7.49e+08 -.0136474 .0193292 1 1 13230 0
75241 03jan2000 PXD PIONEER NATURAL RESOURCES CO 149600 -.055944055 100306 7.49e+08 -.0136474 -.0422966 1 1 149600 0
75828 03jan2000 ERTS ELECTRONIC ARTS INC 0 2279874 .203125 63205 5346 7.49e+08 -.0136474 .2167724 1 1 2279874 0
17144 03jan2000 GIS GENERAL MILLS INC 1039100 -.036713287 303840 7.49e+08 -.0136474 -.0230659 1 1 1039100 0
75825 03jan2000 EOG EOG RESOURCES INC 992800 -.11743772 119182 7.49e+08 -.0136474 -.1037903 1 1 992800 0
40125 03jan2000 CSC COMPUTER SCIENCES CORP 1187099 -.014531043 160465 7.49e+08 -.0136474 -.0008836 1 1 1187099 0
85257 03jan2000 AME AMETEK INC NEW 85400 -.003278689 32174 7.49e+08 -.0136474 .0103687 1 1 85400 0
11786 03jan2000 SIVB SILICON VALLEY BANCSHARES 0 198426 .070707068 20885 460 7.49e+08 -.0136474 .0843545 1 1 198426 0
75912 03jan2000 PMTC PARAMETRIC TECHNOLOGY CORP 0 6112502 -.07159353 271069 5645 7.49e+08 -.0136474 -.0579461 1 1 6112502 0
41080 03jan2000 CUM CUMMINS ENGINE INC 193000 -.020698577 41400 7.49e+08 -.0136474 -.0070512 1 1 193000 0
23819 03jan2000 HAL HALLIBURTON CO 1745099 -.048136648 441754 7.49e+08 -.0136474 -.0344892 1 1 1745099 0
81540 03jan2000 AAS AMERISOURCE HEALTH CORP 696200 .024691358 48481 7.49e+08 -.0136474 .0383388 1 1 696200 0
85592 03jan2000 AMB A M B PROPERTY CORP 36200 -.006269592 86577 7.49e+08 -.0136474 .0073778 1 1 36200 0
66800 03jan2000 AIG AMERICAN INTERNATIONAL GROUP INC 2220699 -.038728323 1548241 7.49e+08 -.0136474 -.0250809 1 1 2220699 0
75510 03jan2000 ADBE ADOBE SYSTEMS INC 0 1869228 -.025092937 118613 3154 7.49e+08 -.0136474 -.0114455 1 1 1869228 0
75186 03jan2000 SCH SCHWAB CHARLES CORP NEW 5825799 -.03267974 819969 7.49e+08 -.0136474 -.0190323 1 1 5825799 0
61146 03jan2000 PTC PAR TECHNOLOGY CORP 13000 .065789476 8223 7.49e+08 -.0136474 .0794369 1 1 13000 0
14702 03jan2000 AMAT APPLIED MATERIALS INC 0 3668025 -.00148002 386487 8673 7.49e+08 -.0136474 .0121674 1 1 3668025 0
19561 03jan2000 BA BOEING CO 2637099 -.021116139 934540 7.49e+08 -.0136474 -.0074687 1 1 2637099 0
85914 03jan2000 BBY BEST BUY COMPANY INC 8672199 .144278601 205270 7.49e+08 -.0136474 .157926 1 1 8672199 0
86288 03jan2000 CSGP COSTAR GROUP INC 0 132543 -.125435546 12862 209 7.49e+08 -.0136474 -.1117881 1 1 132543 0
23309 03jan2000 HLT HILTON HOTELS CORP 2597099 -.013071896 368167 7.49e+08 -.0136474 .0005755 1 1 2597099 0
25320 03jan2000 CPB CAMPBELL SOUP CO 982600 -.037156705 426424 7.49e+08 -.0136474 -.0235093 1 1 982600 0
85753 03jan2000 VRSN VERISIGN INC 1 2292359 -.004255319 102510 5313 7.49e+08 -.0136474 .0093921 1 1 2292359 0
39490 03jan2000 APA APACHE CORP 468700 -.076142132 114083 7.49e+08 -.0136474 -.0624947 1 1 468700 0
34833 03jan2000 OXY OCCIDENTAL PETROLEUM CORP 556300 -.037572253 367578 7.49e+08 -.0136474 -.0239248 1 1 556300 0
24010 03jan2000 ETR ENTERGY CORP NEW 784700 -.019417476 241283 7.49e+08 -.0136474 -.00577 1 1 784700 0
44329 03jan2000 TFX TELEFLEX INC 172200 -.001996008 37971 7.49e+08 -.0136474 .0116514 1 1 172200 0
45356 03jan2000 TYC TYCO INTERNATIONAL LTD NEW 13778500 -.041666668 1700011 7.49e+08 -.0136474 -.0280192 1 1 13778500 0
80681 03jan2000 ESS ESSEX PROPERTY TRUST INC 12200 -.020220589 18055 7.49e+08 -.0136474 -.0065732 1 1 12200 0
56573 03jan2000 ITW ILLINOIS TOOL WORKS INC 3125399 -.054579094 300112 7.49e+08 -.0136474 -.0409317 1 1 3125399 0
21371 03jan2000 CAH CARDINAL HEALTH INC 815100 .03002611 280250 7.49e+08 -.0136474 .0436735 1 1 815100 0
44206 03jan2000 NU NORTHEAST UTILITIES 276400 .006079027 131566 7.49e+08 -.0136474 .0197265 1 1 276400 0
64995 03jan2000 KEY KEYCORP NEW 1291099 -.062146891 447306 7.49e+08 -.0136474 -.0484995 1 1 1291099 0
23660 03jan2000 CTAS CINTAS CORP 0 490039 -.016470589 111565 1214 7.49e+08 -.0136474 -.0028232 1 1 490039 0
40272 03jan2000 IFF INTERNATIONAL FLAVORS & FRAG INC 312300 -.054817274 105105 7.49e+08 -.0136474 -.0411698 1 1 312300 0
23931 03jan2000 NSP NORTHERN STATES POWER CO MN 2738599 -.025641026 154196 7.49e+08 -.0136474 -.0119936 1 1 2738599 0
75901 03jan2000 BKNG BANKNORTH GROUP INC DE 0 26743 -.065420561 23448 73 7.49e+08 -.0136474 -.0517731 1 1 26743 0
13100 03jan2000 MAY MAY DEPARTMENT STORES CO 1042200 -.029069768 330858 7.49e+08 -.0136474 -.0154223 1 1 1042200 0
42534 03jan2000 JCI JOHNSON CONTROLS INC 255200 -.016483517 85404 7.49e+08 -.0136474 -.0028361 1 1 255200 0
12490 03jan2000 IBM INTERNATIONAL BUSINESS MACHS COR 10346799 .07184241 1802604 7.49e+08 -.0136474 .0854898 1 1 10346799 0
77661 03jan2000 DHI D R HORTON INC 231500 -.040723983 62512 7.49e+08 -.0136474 -.0270766 1 1 231500 0
82276 03jan2000 RCHI RISK CAPITAL HOLDINGS INC 0 48200 -.089108914 12378 57 7.49e+08 -.0136474 -.0754615 1 1 48200 0
46181 03jan2000 J JACKPOT ENTERPRISES INC 3500 -.022556391 8617 7.49e+08 -.0136474 -.008909 1 1 3500 0
79698 03jan2000 IT GARTNER GROUP INC NEW 1006700 .090163931 53753 7.49e+08 -.0136474 .1038114 2 1 595000 411700
46578 03jan2000 CLX CLOROX CO 721300 -.023573201 236403 7.49e+08 -.0136474 -.0099258 1 1 721300 0
24985 03jan2000 AEE AMEREN CORP 700800 -.013358778 137215 7.49e+08 -.0136474 .0002886 1 1 700800 0
10516 03jan2000 ADM ARCHER DANIELS MIDLAND CO 893200 -.010309278 608360 7.49e+08 -.0136474 .0033381 1 1 893200 0
38093 03jan2000 AJG GALLAGHER ARTHUR J & CO 64600 -.017374517 18371 7.49e+08 -.0136474 -.0037271 1 1 64600 0
61621 03jan2000 PAYX PAYCHEX INC 2049459 0 246591 3137 7.49e+08 -.0136474 .0136474 1 1 2049459 0
81593 03jan2000 WM WASHINGTON MUTUAL INC 2098699 -.024154589 577304 7.49e+08 -.0136474 -.0105072 1 1 2098699 0
65541 03jan2000 COO COOPER COMPANIES INC 71200 -.020746889 14024 7.49e+08 -.0136474 -.0070995 1 1 71200 0
12062 03jan2000 LH LABORATORY CORP AMERICA HLDGS 130700 -.016949153 128780 7.49e+08 -.0136474 -.0033017 1 1 130700 0
54148 03jan2000 PHM PULTE CORP 230900 -.061111111 43250 7.49e+08 -.0136474 -.0474637 1 1 230900 0
58413 03jan2000 FRT FEDERAL REALTY INVESTMENT TRUST 110000 0 40348 7.49e+08 -.0136474 .0136474 1 1 110000 0
12060 03jan2000 GE GENERAL ELECTRIC CO 7356000 -.030694669 3277652 7.49e+08 -.0136474 -.0170472 1 1 7356000 0
80183 03jan2000 MAA MID AMERICA APT COMMUNITIES INC 28800 -.005524862 18424 7.49e+08 -.0136474 .0081226 1 1 28800 0
15069 03jan2000 MRO U S X MARATHON GROUP 1443899 -.017721519 308650 7.49e+08 -.0136474 -.0040741 1 1 1443899 0
61532 03jan2000 CNP CROWN CENTRAL PETROLEUM CORP 2200 .047619049 5197 7.49e+08 -.0136474 .0612665 1 1 2900 -700
87401 03jan2000 MTCH METRON TECHNOLOGY N V 93700 -.003891051 12404 70 7.49e+08 -.0136474 .0097564 1 1 93700 0
76076 03jan2000 CSCO CISCO SYSTEMS INC 0 26911565 .008751458 3271171 4.1e+04 7.49e+08 -.0136474 .0223989 1 1 26911565 0
76709 03jan2000 IDXX I D E X X LABORATORIES INC 0 305577 -.003875969 36563 289 7.49e+08 -.0136474 .0097715 1 1 305577 0
36003 03jan2000 ROL ROLLINS INC 24400 .0125 30076 7.49e+08 -.0136474 .0261474 1 1 24400 0
84387 03jan2000 CME CORE MATERIALS CORP 2100 -.027027028 9779 7.49e+08 -.0136474 -.0133796 1 1 2100 0
79782 03jan2000 REG REGENCY REALTY CORP 28300 -.003125 59264 7.49e+08 -.0136474 .0105224 1 1 28300 0
85926 03jan2000 SEE SEALED AIR CORP NEW 493800 .007237636 83517 7.49e+08 -.0136474 .0208851 1 1 493800 0
18411 03jan2000 SO SOUTHERN CO 2263199 -.031914894 673093 7.49e+08 -.0136474 -.0182675 1 1 2263199 0
26112 03jan2000 DAL DELTA AIR LINES INC 782100 .003764116 132866 7.49e+08 -.0136474 .0174115 1 1 782100 0
48486 03jan2000 LRCX LAM RESH CORP 1064502 .007282913 40121 2621 7.49e+08 -.0136474 .0209303 1 1 1064502 0
10145 03jan2000 HON HONEYWELL INTERNATIONAL INC 2100799 -.017334778 789233 7.49e+08 -.0136474 -.0036874 1 1 2100799 0
24766 03jan2000 NOC NORTHROP GRUMMAN CORP 152100 -.021965317 69489 7.49e+08 -.0136474 -.0083179 1 1 152100 0
77338 03jan2000 ROP ROPER INDUSTRIES INC NEW 44000 -.059504133 30306 7.49e+08 -.0136474 -.0458567 1 1 44000 0
26332 03jan2000 CEFT CONCORD E F S INC 1 1513007 .048543688 146696 1732 7.49e+08 -.0136474 .0621911 1 1 1513007 0
86979 03jan2000 JNPR JUNIPER NETWORKS INC 0 945303 .011764706 51787 2629 7.49e+08 -.0136474 .0254121 1 1 945303 0
14541 03jan2000 CHV CHEVRON CORP 2193799 -.034632035 656266 7.49e+08 -.0136474 -.0209846 1 1 2193799 0
78975 03jan2000 INTU INTUIT INC 1 2575186 .005213764 186723 3437 7.49e+08 -.0136474 .0188612 1 1 2575186 0
39642 03jan2000 BDX BECTON DICKINSON & CO 776300 -.027842227 251530 7.49e+08 -.0136474 -.0141948 1 1 776300 0
82107 03jan2000 WABC WESTAMERICA BANCORPORATION 0 147158 -.080536909 37605 287 7.49e+08 -.0136474 -.0668895 1 1 147158 0
81736 03jan2000 RMD RESMED INC 96300 -.020958085 14876 7.49e+08 -.0136474 -.0073107 1 1 96300 0
47896 03jan2000 CMB CHASE MANHATTAN CORP NEW 8012699 -.060337894 824777 7.49e+08 -.0136474 -.0466905 1 1 8012699 0
41444 03jan2000 HST HEIST C H CORP 0 0 2881 7.49e+08 -.0136474 .0136474 1 1 0 0
71563 03jan2000 BBT B B & T CORP 571300 -.057077624 330969 7.49e+08 -.0136474 -.0434302 1 1 571300 0
79328 03jan2000 DFS DEPARTMENT 56 INC 59500 -.002762431 16733 7.49e+08 -.0136474 .010885 1 1 59500 0
24328 03jan2000 EQT EQUITABLE RESOURCES INC 234600 .005617978 33036 7.49e+08 -.0136474 .0192654 1 1 234600 0
76016 03jan2000 TRGP TRANSIT GROUP INC 0 6100 -.020408163 31824 5 7.49e+08 -.0136474 -.0067607 1 1 6100 0
25419 03jan2000 WHR WHIRLPOOL CORP 294400 -.049951971 74428 7.49e+08 -.0136474 -.0363045 1 1 294400 0
81696 03jan2000 DISH ECHOSTAR COMMUNICATIONS CORP NEW 1 2351405 -.023717949 62088 4878 7.49e+08 -.0136474 -.0100705 1 1 2351405 0
86356 03jan2000 EBAY EBAY INC 0 6198229 .128307536 123225 1.7e+04 7.49e+08 -.0136474 .141955 1 1 6198229 0
79103 03jan2000 ORLY O REILLY AUTOMOTIVE INC 0 125089 0 50799 183 7.49e+08 -.0136474 .0136474 1 1 125089 0
26825 03jan2000 K KELLOGG CO 768600 -.030425964 405404 7.49e+08 -.0136474 -.0167785 1 1 768600 0
84129 03jan2000 ZION ZIONS BANCORPORATION 1202107 -.062302005 85503 1364 7.49e+08 -.0136474 -.0486546 1 1 1202107 0
70578 03jan2000 ECL ECOLAB INC 291000 -.036741216 129580 7.49e+08 -.0136474 -.0230938 1 1 291000 0
20626 03jan2000 DOW DOW CHEMICAL CO 614800 -.00748363 219297 7.49e+08 -.0136474 .0061638 1 1 614800 0
62519 03jan2000 ESV E N S C O INTERNATIONAL INC 1193699 -.062841527 137308 7.49e+08 -.0136474 -.0491941 1 1 1193699 0
87137 03jan2000 DVN DEVON ENERGY CORP NEW 358800 -.015209125 80893 7.49e+08 -.0136474 -.0015617 1 1 358800 0
79452 03jan2000 CPT CAMDEN PROPERTY TRUST 51000 -.033783782 40213 7.49e+08 -.0136474 -.0201364 1 1 51000 0
34746 03jan2000 FITB FIFTH THIRD BANCORP 0 1025306 -.04770017 309317 1584 7.49e+08 -.0136474 -.0340527 1 1 1025306 0
85610 03jan2000 HWM HOWMET INTERNATIONAL INC 194900 0 100029 7.49e+08 -.0136474 .0136474 1 1 194900 0
64936 03jan2000 D DOMINION RESOURCES INC VA 1036700 -.028662421 190808 7.49e+08 -.0136474 -.015015 1 1 1036700 0
64282 03jan2000 LTD LIMITED INC 963500 -.063492067 214814 7.49e+08 -.0136474 -.0498446 1 1 963500 0
11955 03jan2000 WMI WASTE MANAGEMENT INC DEL 3833199 .010909091 619630 7.49e+08 -.0136474 .0245565 1 1 3833199 0
11403 03jan2000 CDN CADENCE DESIGN SYSTEMS INC 1656500 -.080729164 243507 7.49e+08 -.0136474 -.0670817 1 1 1656500 0
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10696 03jan2000 FISV FISERV INC 0 805887 -.004893964 122639 963 7.49e+08 -.0136474 .0087535 1 1 805887 0
21207 03jan2000 NEM NEWMONT MINING CORP 906900 -.017857144 167607 7.49e+08 -.0136474 -.0042097 1 1 906900 0
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11891 03jan2000 MGG M G M GRAND INC 255500 -.060869563 56885 7.49e+08 -.0136474 -.0472221 1 1 255500 0
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86460 03jan2000 TRV THOUSAND TRAILS INC DEL 11300 0 7978 7.49e+08 -.0136474 .0136474 1 1 11300 0
12320 03jan2000 AIZ AMCAST INDUSTRIAL CORP 35000 .015267176 8955 7.49e+08 -.0136474 .0289146 1 1 35000 0
83597 03jan2000 FDS FACTSET RESEARCH SYSTEMS INC 8700 -.007849294 15817 7.49e+08 -.0136474 .0057981 1 1 8700 0
77037 03jan2000 ODFL OLD DOMINION FREIGHT LINE INC 0 3930 .046511628 8313 7 7.49e+08 -.0136474 .0601591 1 1 3930 0
10725 03jan2000 CF CHARTER ONE FINANCIAL INC 498800 -.045751635 212171 7.49e+08 -.0136474 -.0321042 1 1 498800 0
11674 03jan2000 DTE D T E ENERGY CO 572300 -.049407113 145045 7.49e+08 -.0136474 -.0357597 1 1 572300 0
80105 03jan2000 AAP AMWAY ASIA PACIFIC LTD 9900 -.006968641 56442 7.49e+08 -.0136474 .0066788 1 1 9900 0
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75631 03jan2000 ROC R O C TAIWAN FUND 64200 .037037037 32699 7.49e+08 -.0136474 .0506845 1 1 64200 0
19350 03jan2000 DE DEERE & CO 1345599 -.011527377 233686 7.49e+08 -.0136474 .00212 1 1 1345599 0
63467 03jan2000 BRO BROWN & BROWN INC 5100 -.01141925 13601 7.49e+08 -.0136474 .0022282 1 1 5100 0
23536 03jan2000 WEC WISCONSIN ENERGY CORP 296400 -.009740259 117878 7.49e+08 -.0136474 .0039072 1 1 296400 0
66253 03jan2000 MNS M S C SOFTWARE CORP 77600 0 13842 7.49e+08 -.0136474 .0136474 1 1 77600 0
28484 03jan2000 AHC AMERADA HESS CORP 311200 -.039647575 90695 7.49e+08 -.0136474 -.0260001 1 1 311200 0
47159 03jan2000 FBF FLEETBOSTON FINANCIAL CORP 2750199 -.035906643 915564 7.49e+08 -.0136474 -.0222592 1 1 2750199 0
81781 03jan2000 TI TELECOM ITALIA SPA 29700 -.003571429 14144 7.49e+08 -.0136474 .010076 2 1 15600 14100
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24221 03jan2000 CEG CONSTELLATION ENERGY GROUP INC 197600 -.040948275 149556 7.49e+08 -.0136474 -.0273008 1 1 197600 0
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PERMNO date TICKER COMNAM SHRFLG VOL RET SHROUT NUMTRD total_volume avg_return_total_market return_vs_market obs_position flag VOL_mean abnormal_volume
81774 03jan2000 FCX FREEPORT MCMORAN COPPER & GOLD 727500 .00295858 98738 7.49e+08 -.0136474 .016606 1 1 419300 308200
11600 03jan2000 XRAY DENTSPLY INTERNATIONAL INC NEW 0 195363 -.005291005 52800 216 7.49e+08 -.0136474 .0083564 1 1 195363 0
75034 03jan2000 BHI BAKER HUGHES INC 1468699 -.038575668 328850 7.49e+08 -.0136474 -.0249282 1 1 1468699 0
82621 03jan2000 MS MILESTONE SCIENTIFIC INC 32400 .07692308 8765 7.49e+08 -.0136474 .0905705 1 1 32400 0
11170 03jan2000 MEC MIDAMERICAN ENERGY HLDGS CO NEW 253200 .005565863 59868 7.49e+08 -.0136474 .0192133 1 1 253200 0
27828 03jan2000 HWP HEWLETT PACKARD CO 4170699 .032417584 1019000 7.49e+08 -.0136474 .046065 1 1 4170699 0
53065 03jan2000 IPG INTERPUBLIC GROUP COS INC 948700 -.058504876 280652 7.49e+08 -.0136474 -.0448574 1 1 948700 0
86158 03jan2000 CTSH COGNIZANT TECHNOLOGY SOLS CORP 85703 -.121783875 3549 387 7.49e+08 -.0136474 -.1081364 1 1 85703 0
64899 03jan2000 CDB CANANDAIGUA BRANDS 0 -.001112347 3158 7.49e+08 -.0136474 .0125351 2 1 54300 -54300
22103 03jan2000 EMR EMERSON ELECTRIC CO 1123399 .003267974 432199 7.49e+08 -.0136474 .0169154 1 1 1123399 0
52038 03jan2000 SYY SYSCO CORP 616600 -.036334913 329380 7.49e+08 -.0136474 -.0226875 1 1 616600 0
81599 03jan2000 ANET A C T NETWORKS INC 309973 .033557046 10240 375 7.49e+08 -.0136474 .0472045 1 1 309973 0
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61241 03jan2000 AMD ADVANCED MICRO DEVICES INC 3921599 .071274295 147770 7.49e+08 -.0136474 .0849217 1 1 3921599 0
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11618 03jan2000 FAST FASTENAL CO 0 119717 -.055632822 37939 255 7.49e+08 -.0136474 -.0419854 1 1 119717 0
79678 03jan2000 ATVI ACTIVISION INC NEW 0 603464 .073469386 25032 551 7.49e+08 -.0136474 .0871168 1 1 603464 0
84262 03jan2000 STLD STEEL DYNAMICS INC 0 67421 0 47953 170 7.49e+08 -.0136474 .0136474 1 1 67421 0
87432 03jan2000 A AGILENT TECHNOLOGIES INC 3343299 -.068714634 445000 7.49e+08 -.0136474 -.0550672 1 1 3343299 0
43123 03jan2000 ATI ALLEGHENY TECHNOLOGIES 401800 -.011142061 93557 7.49e+08 -.0136474 .0025054 1 1 401800 0
26331 03jan2000 ADP ALLIED PRODUCTS CORP DE 10200 .01754386 11847 7.49e+08 -.0136474 .0311913 1 1 10200 0
58077 03jan2000 AIF ACCEPTANCE INSURANCE COS INC 61100 -.065217391 14254 7.49e+08 -.0136474 -.05157 1 1 61100 0
42112 03jan2000 PSG P S GROUP HOLDINGS INC 3800 -.022222223 6068 7.49e+08 -.0136474 -.0085748 1 1 3800 0
23544 03jan2000 AWK AMERICAN WATER WORKS INC 202800 -.011764706 96915 7.49e+08 -.0136474 .0018827 1 1 202800 0
77129 03jan2000 KIM KIMCO REALTY CORP 53600 0 60731 7.49e+08 -.0136474 .0136474 1 1 53600 0
76082 03jan2000 COG CABOT OIL & GAS CORP 108900 -.077821009 25073 7.49e+08 -.0136474 -.0641736 1 1 108900 0
85792 03jan2000 PWR QUANTA SERVICES INC 64000 -.002212389 33557 7.49e+08 -.0136474 .011435 1 1 64000 0
26607 03jan2000 COP CONSOLIDATED PRODUCTS INC 32300 -.012345679 29273 7.49e+08 -.0136474 .0013017 1 1 32300 0
14008 03jan2000 AMGN AMGEN INC 1 23269943 .047866806 1018048 2.6e+04 7.49e+08 -.0136474 .0615142 1 1 23269943 0
48282 03jan2000 CMI C M I CORP OKLA 17300 .008849557 21551 7.49e+08 -.0136474 .022497 1 1 17300 0
75469 03jan2000 ACN ACUSON CORP 49000 -.004975124 26722 7.49e+08 -.0136474 .0086723 1 1 49000 0
45911 03jan2000 AHAA ALPHA INDUSTRIES INC 0 257167 .095965102 19529 328 7.49e+08 -.0136474 .1096125 1 1 257167 0
82598 03jan2000 NTAP NETWORK APPLIANCE INC 1 3342782 .023325808 149338 4798 7.49e+08 -.0136474 .0369732 1 1 3342782 0
28804 03jan2000 ALK ALASKA AIRGROUP INC 225100 -.003558719 26403 7.49e+08 -.0136474 .0100887 1 1 225100 0
81481 03jan2000 DLTR DOLLAR TREE STORES INC 478191 .009032258 62025 835 7.49e+08 -.0136474 .0226797 1 1 478191 0
24109 03jan2000 AEP AMERICAN ELECTRIC POWER CO INC 396900 -.021400778 194103 7.49e+08 -.0136474 -.0077534 1 1 396900 0
24053 03jan2000 WR WESTERN RESOURCES INC 419600 -.025830258 68092 7.49e+08 -.0136474 -.0121828 1 1 419600 0
84767 03jan2000 ARE ALEXANDRIA REAL EST EQUITIES INC 48500 -.017681729 13741 7.49e+08 -.0136474 -.0040343 1 1 48500 0
83946 03jan2000 LTBG LIGHTBRIDGE INC 337821 -.009009009 16465 366 7.49e+08 -.0136474 .0046384 1 1 337821 0
78987 03jan2000 MCHP MICROCHIP TECHNOLOGY INC 0 869456 -.007305936 50848 1218 7.49e+08 -.0136474 .0063415 1 1 869456 0
83621 03jan2000 ANSS ANSYS INC 13230 .005681818 16228 16 7.49e+08 -.0136474 .0193292 1 1 13230 0
75241 03jan2000 PXD PIONEER NATURAL RESOURCES CO 149600 -.055944055 100306 7.49e+08 -.0136474 -.0422966 1 1 149600 0
75828 03jan2000 ERTS ELECTRONIC ARTS INC 0 2279874 .203125 63205 5346 7.49e+08 -.0136474 .2167724 1 1 2279874 0
17144 03jan2000 GIS GENERAL MILLS INC 1039100 -.036713287 303840 7.49e+08 -.0136474 -.0230659 1 1 1039100 0
75825 03jan2000 EOG EOG RESOURCES INC 992800 -.11743772 119182 7.49e+08 -.0136474 -.1037903 1 1 992800 0
40125 03jan2000 CSC COMPUTER SCIENCES CORP 1187099 -.014531043 160465 7.49e+08 -.0136474 -.0008836 1 1 1187099 0
85257 03jan2000 AME AMETEK INC NEW 85400 -.003278689 32174 7.49e+08 -.0136474 .0103687 1 1 85400 0
11786 03jan2000 SIVB SILICON VALLEY BANCSHARES 0 198426 .070707068 20885 460 7.49e+08 -.0136474 .0843545 1 1 198426 0
75912 03jan2000 PMTC PARAMETRIC TECHNOLOGY CORP 0 6112502 -.07159353 271069 5645 7.49e+08 -.0136474 -.0579461 1 1 6112502 0
41080 03jan2000 CUM CUMMINS ENGINE INC 193000 -.020698577 41400 7.49e+08 -.0136474 -.0070512 1 1 193000 0
23819 03jan2000 HAL HALLIBURTON CO 1745099 -.048136648 441754 7.49e+08 -.0136474 -.0344892 1 1 1745099 0
81540 03jan2000 AAS AMERISOURCE HEALTH CORP 696200 .024691358 48481 7.49e+08 -.0136474 .0383388 1 1 696200 0
85592 03jan2000 AMB A M B PROPERTY CORP 36200 -.006269592 86577 7.49e+08 -.0136474 .0073778 1 1 36200 0
66800 03jan2000 AIG AMERICAN INTERNATIONAL GROUP INC 2220699 -.038728323 1548241 7.49e+08 -.0136474 -.0250809 1 1 2220699 0
75510 03jan2000 ADBE ADOBE SYSTEMS INC 0 1869228 -.025092937 118613 3154 7.49e+08 -.0136474 -.0114455 1 1 1869228 0
75186 03jan2000 SCH SCHWAB CHARLES CORP NEW 5825799 -.03267974 819969 7.49e+08 -.0136474 -.0190323 1 1 5825799 0
61146 03jan2000 PTC PAR TECHNOLOGY CORP 13000 .065789476 8223 7.49e+08 -.0136474 .0794369 1 1 13000 0
14702 03jan2000 AMAT APPLIED MATERIALS INC 0 3668025 -.00148002 386487 8673 7.49e+08 -.0136474 .0121674 1 1 3668025 0
19561 03jan2000 BA BOEING CO 2637099 -.021116139 934540 7.49e+08 -.0136474 -.0074687 1 1 2637099 0
85914 03jan2000 BBY BEST BUY COMPANY INC 8672199 .144278601 205270 7.49e+08 -.0136474 .157926 1 1 8672199 0
86288 03jan2000 CSGP COSTAR GROUP INC 0 132543 -.125435546 12862 209 7.49e+08 -.0136474 -.1117881 1 1 132543 0
23309 03jan2000 HLT HILTON HOTELS CORP 2597099 -.013071896 368167 7.49e+08 -.0136474 .0005755 1 1 2597099 0
25320 03jan2000 CPB CAMPBELL SOUP CO 982600 -.037156705 426424 7.49e+08 -.0136474 -.0235093 1 1 982600 0
85753 03jan2000 VRSN VERISIGN INC 1 2292359 -.004255319 102510 5313 7.49e+08 -.0136474 .0093921 1 1 2292359 0
39490 03jan2000 APA APACHE CORP 468700 -.076142132 114083 7.49e+08 -.0136474 -.0624947 1 1 468700 0
34833 03jan2000 OXY OCCIDENTAL PETROLEUM CORP 556300 -.037572253 367578 7.49e+08 -.0136474 -.0239248 1 1 556300 0
24010 03jan2000 ETR ENTERGY CORP NEW 784700 -.019417476 241283 7.49e+08 -.0136474 -.00577 1 1 784700 0
44329 03jan2000 TFX TELEFLEX INC 172200 -.001996008 37971 7.49e+08 -.0136474 .0116514 1 1 172200 0
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80681 03jan2000 ESS ESSEX PROPERTY TRUST INC 12200 -.020220589 18055 7.49e+08 -.0136474 -.0065732 1 1 12200 0
56573 03jan2000 ITW ILLINOIS TOOL WORKS INC 3125399 -.054579094 300112 7.49e+08 -.0136474 -.0409317 1 1 3125399 0
21371 03jan2000 CAH CARDINAL HEALTH INC 815100 .03002611 280250 7.49e+08 -.0136474 .0436735 1 1 815100 0
44206 03jan2000 NU NORTHEAST UTILITIES 276400 .006079027 131566 7.49e+08 -.0136474 .0197265 1 1 276400 0
64995 03jan2000 KEY KEYCORP NEW 1291099 -.062146891 447306 7.49e+08 -.0136474 -.0484995 1 1 1291099 0
23660 03jan2000 CTAS CINTAS CORP 0 490039 -.016470589 111565 1214 7.49e+08 -.0136474 -.0028232 1 1 490039 0
40272 03jan2000 IFF INTERNATIONAL FLAVORS & FRAG INC 312300 -.054817274 105105 7.49e+08 -.0136474 -.0411698 1 1 312300 0
23931 03jan2000 NSP NORTHERN STATES POWER CO MN 2738599 -.025641026 154196 7.49e+08 -.0136474 -.0119936 1 1 2738599 0
75901 03jan2000 BKNG BANKNORTH GROUP INC DE 0 26743 -.065420561 23448 73 7.49e+08 -.0136474 -.0517731 1 1 26743 0
13100 03jan2000 MAY MAY DEPARTMENT STORES CO 1042200 -.029069768 330858 7.49e+08 -.0136474 -.0154223 1 1 1042200 0
42534 03jan2000 JCI JOHNSON CONTROLS INC 255200 -.016483517 85404 7.49e+08 -.0136474 -.0028361 1 1 255200 0
12490 03jan2000 IBM INTERNATIONAL BUSINESS MACHS COR 10346799 .07184241 1802604 7.49e+08 -.0136474 .0854898 1 1 10346799 0
77661 03jan2000 DHI D R HORTON INC 231500 -.040723983 62512 7.49e+08 -.0136474 -.0270766 1 1 231500 0
82276 03jan2000 RCHI RISK CAPITAL HOLDINGS INC 0 48200 -.089108914 12378 57 7.49e+08 -.0136474 -.0754615 1 1 48200 0
46181 03jan2000 J JACKPOT ENTERPRISES INC 3500 -.022556391 8617 7.49e+08 -.0136474 -.008909 1 1 3500 0
79698 03jan2000 IT GARTNER GROUP INC NEW 1006700 .090163931 53753 7.49e+08 -.0136474 .1038114 2 1 595000 411700
46578 03jan2000 CLX CLOROX CO 721300 -.023573201 236403 7.49e+08 -.0136474 -.0099258 1 1 721300 0
24985 03jan2000 AEE AMEREN CORP 700800 -.013358778 137215 7.49e+08 -.0136474 .0002886 1 1 700800 0
10516 03jan2000 ADM ARCHER DANIELS MIDLAND CO 893200 -.010309278 608360 7.49e+08 -.0136474 .0033381 1 1 893200 0
38093 03jan2000 AJG GALLAGHER ARTHUR J & CO 64600 -.017374517 18371 7.49e+08 -.0136474 -.0037271 1 1 64600 0
61621 03jan2000 PAYX PAYCHEX INC 2049459 0 246591 3137 7.49e+08 -.0136474 .0136474 1 1 2049459 0
81593 03jan2000 WM WASHINGTON MUTUAL INC 2098699 -.024154589 577304 7.49e+08 -.0136474 -.0105072 1 1 2098699 0
65541 03jan2000 COO COOPER COMPANIES INC 71200 -.020746889 14024 7.49e+08 -.0136474 -.0070995 1 1 71200 0
12062 03jan2000 LH LABORATORY CORP AMERICA HLDGS 130700 -.016949153 128780 7.49e+08 -.0136474 -.0033017 1 1 130700 0
54148 03jan2000 PHM PULTE CORP 230900 -.061111111 43250 7.49e+08 -.0136474 -.0474637 1 1 230900 0
58413 03jan2000 FRT FEDERAL REALTY INVESTMENT TRUST 110000 0 40348 7.49e+08 -.0136474 .0136474 1 1 110000 0
12060 03jan2000 GE GENERAL ELECTRIC CO 7356000 -.030694669 3277652 7.49e+08 -.0136474 -.0170472 1 1 7356000 0
80183 03jan2000 MAA MID AMERICA APT COMMUNITIES INC 28800 -.005524862 18424 7.49e+08 -.0136474 .0081226 1 1 28800 0
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61532 03jan2000 CNP CROWN CENTRAL PETROLEUM CORP 2200 .047619049 5197 7.49e+08 -.0136474 .0612665 1 1 2900 -700
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26112 03jan2000 DAL DELTA AIR LINES INC 782100 .003764116 132866 7.49e+08 -.0136474 .0174115 1 1 782100 0
48486 03jan2000 LRCX LAM RESH CORP 1064502 .007282913 40121 2621 7.49e+08 -.0136474 .0209303 1 1 1064502 0
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26332 03jan2000 CEFT CONCORD E F S INC 1 1513007 .048543688 146696 1732 7.49e+08 -.0136474 .0621911 1 1 1513007 0
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14541 03jan2000 CHV CHEVRON CORP 2193799 -.034632035 656266 7.49e+08 -.0136474 -.0209846 1 1 2193799 0
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11674 03jan2000 DTE D T E ENERGY CO 572300 -.049407113 145045 7.49e+08 -.0136474 -.0357597 1 1 572300 0
80105 03jan2000 AAP AMWAY ASIA PACIFIC LTD 9900 -.006968641 56442 7.49e+08 -.0136474 .0066788 1 1 9900 0
59192 03jan2000 CB CHUBB CORP 524300 -.038845725 175936 7.49e+08 -.0136474 -.0251983 1 1 524300 0
75631 03jan2000 ROC R O C TAIWAN FUND 64200 .037037037 32699 7.49e+08 -.0136474 .0506845 1 1 64200 0
19350 03jan2000 DE DEERE & CO 1345599 -.011527377 233686 7.49e+08 -.0136474 .00212 1 1 1345599 0
63467 03jan2000 BRO BROWN & BROWN INC 5100 -.01141925 13601 7.49e+08 -.0136474 .0022282 1 1 5100 0
23536 03jan2000 WEC WISCONSIN ENERGY CORP 296400 -.009740259 117878 7.49e+08 -.0136474 .0039072 1 1 296400 0
66253 03jan2000 MNS M S C SOFTWARE CORP 77600 0 13842 7.49e+08 -.0136474 .0136474 1 1 77600 0
28484 03jan2000 AHC AMERADA HESS CORP 311200 -.039647575 90695 7.49e+08 -.0136474 -.0260001 1 1 311200 0
47159 03jan2000 FBF FLEETBOSTON FINANCIAL CORP 2750199 -.035906643 915564 7.49e+08 -.0136474 -.0222592 1 1 2750199 0
81781 03jan2000 TI TELECOM ITALIA SPA 29700 -.003571429 14144 7.49e+08 -.0136474 .010076 2 1 15600 14100
60871 03jan2000 ADI ANALOG DEVICES INC 1827799 -.030241935 174459 7.49e+08 -.0136474 -.0165945 1 1 1827799 0
69649 03jan2000 RJF RAYMOND JAMES FINANCIAL INC 103100 -.053691275 46589 7.49e+08 -.0136474 -.0400438 1 1 103100 0
24221 03jan2000 CEG CONSTELLATION ENERGY GROUP INC 197600 -.040948275 149556 7.49e+08 -.0136474 -.0273008 1 1 197600 0
11850 03jan2000 XOM EXXON MOBIL CORP 6728599 -.029480217 3461574 7.49e+08 -.0136474 -.0158328 1 1 6728599 0
62308 03jan2000 TMK TORCHMARK CORP 241100 -.025806451 131537 7.49e+08 -.0136474 -.012159 1 1 241100 0
87378 03jan2000 CHTR CHARTER COMMUNICATIONS INC 0 3429640 .031428572 222040 4488 7.49e+08 -.0136474 .045076 1 1 3429640 0
87388 03jan2000 EXPE EXPEDIA INC 153677 .010714286 38200 547 7.49e+08 -.0136474 .0243617 1 1 153677 0
84373 03jan2000 DGX QUEST DIAGNOSTICS INC 98700 -.018404908 43196 7.49e+08 -.0136474 -.0047575 1 1 98700 0
66384 03jan2000 WDC WESTERN DIGITAL CORP 2461899 -.059701491 112324 7.49e+08 -.0136474 -.0460541 1 1 2461899 0
80320 03jan2000 CPRT COPART INC 0 118175 -.103448279 26848 341 7.49e+08 -.0136474 -.0898008 1 1 118175 0
85631 03jan2000 ADSK AUTODESK INC 0 714186 -.011111111 61000 934 7.49e+08 -.0136474 .0025363 1 1 714186 0
48506 03jan2000 DNB DUN & BRADSTREET CORP DEL 510900 -.023305085 160883 7.49e+08 -.0136474 -.0096577 1 1 510900 0
86964 03jan2000 FFIV F 5 NETWORKS INC 0 400161 .048245613 21004 1472 7.49e+08 -.0136474 .061893 1 1 400161 0
80204 03jan2000 MLM MARTIN MARIETTA MATERIALS INC 147600 -.012195121 46710 7.49e+08 -.0136474 .0014523 1 1 147600 0
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