Hi,
So I have got monthly panel data of about 5000 firms over a period of about 10 years and need to construct equally weighted as well as value weighted top in class and bottom in class portfolios based on a sustainability measure. Afterwards I need to take the (equally weigthed or value weigthed) returns of those portfolios and regress the Fama &French factors against them. Since I am not very experience with stata I was wondering whether someone could help me with the commands to do so. Therefore I would need a command that select the returns of the top and bottom 25 % each month based on the sustainability variable followed by a mean command of those returns and then regressing them with three other varables. For the value weighted portfolios I would also need a command which would weighted each return by the fraction of this firms market value to the whole market value within that portfolio.
Any help is highly appreciated
Regards,
Lutz
So I have got monthly panel data of about 5000 firms over a period of about 10 years and need to construct equally weighted as well as value weighted top in class and bottom in class portfolios based on a sustainability measure. Afterwards I need to take the (equally weigthed or value weigthed) returns of those portfolios and regress the Fama &French factors against them. Since I am not very experience with stata I was wondering whether someone could help me with the commands to do so. Therefore I would need a command that select the returns of the top and bottom 25 % each month based on the sustainability variable followed by a mean command of those returns and then regressing them with three other varables. For the value weighted portfolios I would also need a command which would weighted each return by the fraction of this firms market value to the whole market value within that portfolio.
Any help is highly appreciated
Regards,
Lutz
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