How to calculate previous fiscal year industry adjusted stock returns?
Posted: 18 November 2015 11:12 AM   [ Ignore ]
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Dear Joost,

I am currently doing research on top executive turnover and need to calculate cumulative industry adjusted stock returns.

My dataset is a S&P500; sample from ExecuComp. I want to combine my fiscal year observations from ExecuComp with monthly return data (from CRSP). I have monthly return data that I want to convert to annual returns.
The idea is that annual returns = (1+first month ret) * (1+ second month return) * ........(1+ the 12th month return) - 1

I particular, I want to calculate for each ExecuComp firm year observation the industry adjusted stock return of the firm in the previous fiscal year.

E.g, If I have an observation for company X, who’s fiscal year runs from 1/jan/2010-31/dec/2010, I am interested in the return for the period 1/jan/2009-31/dec/2009.
To calculate the industry adjusted stock return for a fiscal year observation of firm X at “t”, I need something like
return firm X (t-1) - average industry return (t-1).
Industry return is the average return of same industry group as firm x, over the same period.

Since several firms have different fiscal years and belong to different industry groups, how can this problem be programmed with Stata?
I hope I explained the problem clearly enough.

Regards, Wiebe

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Posted: 20 November 2015 11:25 AM   [ Ignore ]   [ # 1 ]
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hi Wiebe,

I am afraid I don’t have any Stata code to do this.

Best Regards,

Joost

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