portfolio: A command for conducting portfolio analysis in Stata

Abstract

Portfolio analysis is widely used in empirical asset pricing to explore the cross-sectional relation between two or more variables. In this article, we introduce the methodology of portfolio analysis and describe a new command, portfolio, that provides a one-step solution for portfolio analysis. portfolio calculates the equal- or value-weighted returns with a t statistic for the portfolio and tests the significance of a long-short strategy in portfolios. portfolio also provides the Newey–West standard-error adjustment option for alleviating the impact of potential autocorrelation and heteroskedasticity in financial time series.

Keywords

st0697 portfolio portfolio analysis nonparametric analysis hedging strategy

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