Code econometric variable in Stata
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€120(approx. $129)
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Description
Experience Level: Expert
Estimated project duration: 1 - 2 weeks
I need someone to code a Stata variable for measuring investor horizon based on this description:
We measure an investor’s investment horizon as the investor’s portfolio turnover. We refer to this variable as “investor turnover,” and we compute it as follows. For each investor j, each quarter t, and each stock i, we compute the fraction of stock i held by investor j at date t − 12 (i.e., 3 years ago) that is sold at date t. If investor j is a net buyer of stock i between t − 12 and t, we set this stock turnover to 0. We only use the stocks of firms that are publicly traded at both t and t − 12. We then weight this stock turnover by the weight of stock i in investor j’s portfolio at t − 12 and sum it over all stocks held in the investor’s portfolio at t − 12. Finally, we compute the mean of investor turnover during the 4 quarters from t − 3 to t to reduce the influence of 1 quarter with extreme turnover. This resulting measure captures the fraction of the investor’s portfolio turned over during the last 3 years; it lies between 0 and 1.
We measure an investor’s investment horizon as the investor’s portfolio turnover. We refer to this variable as “investor turnover,” and we compute it as follows. For each investor j, each quarter t, and each stock i, we compute the fraction of stock i held by investor j at date t − 12 (i.e., 3 years ago) that is sold at date t. If investor j is a net buyer of stock i between t − 12 and t, we set this stock turnover to 0. We only use the stocks of firms that are publicly traded at both t and t − 12. We then weight this stock turnover by the weight of stock i in investor j’s portfolio at t − 12 and sum it over all stocks held in the investor’s portfolio at t − 12. Finally, we compute the mean of investor turnover during the 4 quarters from t − 3 to t to reduce the influence of 1 quarter with extreme turnover. This resulting measure captures the fraction of the investor’s portfolio turned over during the last 3 years; it lies between 0 and 1.
Andrew Z.
100% (14)Projects Completed
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17 Jun 2020
France
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