/* -------------------------------------------------------------------------- */ /* NEWFMT.PRG */ /* MAKEFMT.GPG all .fmt files are translated from .prn files by this program */ /* this file just translates .prn's to .fmt's, changing all units to gross returns. It does NO sampling, averaging, etc. */ /* currently available series: CRSP quarterly returns: qcaldt,qvwretd,qvwretx,qewretd,qewretx,qsptrn,qdecrets; 26 end of 1st qtr -> 93 end of 4th qtr [85,260] gives 47-90 end of 1st qtr -> end of 4th qtr CRSP monthly returns: mcaldt,mvwretd,mvwretx,mewretd,mewretx,msptrn,mdecrets; mtotval,mtotcnt,musdval,musdcnt; 816 long 260130 - 931231. 253 = 470131 [253:816] gives 47-93 CRSP INDIVIDUAL STOCK RETURNS (NYSE/AMEX random stock returns): invstret; dataset size = [553,22]; start = 441231; end = 901230 SBBI monthly returns: mCSTRET,mGBTRET,mCBTRET,mUSTRET,mCPIRET,mSSTRET; same as crsp CITIBASE monthly data: fyaaac,fybaac,fygl,fygm3 568 observations 47:1 to 94:4 units annualized% mpunew consumer price index (sa) level 568 observations 47:1 to 94:4 ip industrial production 564 observations 47:1 to 93:12 CITIBASE macro data: 189 observations 47:1 to 94:1; quarterly chopped to 93:4 below year,qtr, GNPQ,GVQ,GVUQ,GVFQ,GNETQ,GGEQ, GPIQ,GIFQ,GINQ,GISQ,GIPDQ,GIRQ, GCQ,GCNQ,GCSQ,GCDQ, GD,GPOP; year,qtr, GPOP population (46:1 to 94:1) GNPQ, GNP GD GNP deflator GVQ, ch bus inventories GVUQ, nonfarm GVFQ, farm GNETQ, net exports GGEQ, govt purchases GPIQ, gross private domestic investment GIFQ, fixed GINQ, nonresidential GISQ, structures GIPDQ, producer's durable equipment GIRQ, residential GCQ, personal consumption expenditures GCNQ, nondurable goods GCSQ, serrvices GCDQ; durable goods ----------------------------------------------------------------------------- */ /* library gmm; */ SET LOAD/SAVE PATH; load x[564,3] = ip.prn; /* 1947:1 to 1993:12 */ ip = x[.,3]; save ip; /* ------------------ */ /* citibase financial */ /* ------------------ */ load x[568,6]= yields.prn; /* 1947:1 to 1994:4 */ year = x[.,1]; qtr = x[.,2]; fyaaac = x[.,3]; fybaac = x[.,4]; fygl = x[.,5]; fygm3 = x[.,6]; save fyaaac,fybaac,fygl,fygm3; /* --------- */ /* CPI */ /* --------- */ load x[568,3] = punew.prn; /* 1947:1 to 1994:4 */ mpunew = x[.,3]; save mpunew; /* --------- */ /* SBBI data */ /* --------- */ @load x[780,8] = msbbi1.prn; CALDT = x[.,2]; mCSTRET = 1+x[.,3]; mCSIRET = x[.,4]; /* parts of cstret ? */ mCSCRET = x[.,5]; /* ? */ mGBIRET = x[.,7]; /* ? */ mGBCRET = x[.,8]; /* ? */ mSSTRET = 1+x[.,5]; @ load x[816,5] = msbbi1.prn; mGBTRET = 1+x[.,2]; mCBTRET = 1+x[.,3]; mUSTRET = 1+x[.,4]; mCPIRET = 1+x[.,5]; save mGBTRET,mCBTRET,mUSTRET,mCPIRET; /* ----------------- */ /* monthly qsia data */ /* ----------------- */ load x[816,7] = msia1.prn; row = x[.,1]; @ mcaldt = x[.,2]; @ mvwretd = 1+x[.,2]; mvwretx = 1+x[.,3]; mewretd = 1+x[.,4]; mewretx = 1+x[.,5]; mdecrets = 1+x[.,6:7]; /* 1 decile */ load x[816,7] = msia2.prn; mdecrets = mdecrets~(1+x[.,2:7]); /* 3 - 8 decile */ load x[816,3] = msia3.prn; mdecrets = mdecrets~(1+x[.,2:3]); /* 9 - 10 decile */ @ mtotval = x[.,4]; mtotcnt = x[.,5]; musdval = x[.,6]; musdcnt = x[.,7]; @ load x[816,2] = msptrn.prn; msptrn = 1+x[.,2]; save mvwretd,mvwretx,mewretd,mewretx,msptrn,mdecrets; @ mtotval,mtotcnt,musdval,musdcnt;@ @ /* ------------------------------- */ /* load deciles, indices from qsia */ /* ------------------------------- */ load x[260,8] = qsia1.prn; row = x[.,1]; qvwretd = 1+x[.,2]; qvwretx = 1+x[.,3]; qewretd = 1+x[.,4]; qewretx = 1+x[.,5]; qsptrn = 1+x[.,6]; qdecrets = 1+x[.,7:8]; /* 1 and 2 decile */ load x[260,8] = qsia2.prn; qdecrets = qdecrets~(1+x[.,2:8]); /* 3 - 9 decile */ load x[260,3] = qsia3.prn; qcaldt = x[.,2]; qdecrets = qdecrets~(1+x[.,3]); /* 10 decile */ save qvwretd,qvwretx,qewretd,qewretx,qsptrn,qdecrets,qcaldt; @ /* --------------- */ /* load macro data */ /* --------------- */ load x[189,8] = gnpetc.prn; year = x[.,1]; qtr = x[.,2]; GNPQ = x[.,5]; GVQ = x[.,7]; GVUQ = x[.,8]; GVFQ = x[.,6]; GNETQ= x[.,4]; GGEQ = x[.,3]; load x[189,8] = invest.prn; GPIQ = x[.,8]; GIFQ = x[.,3]; GINQ = x[.,4]; GISQ = x[.,7]; GIPDQ = x[.,5]; GIRQ = x[.,6]; load x[189,6] = cons.prn; GCQ = x[.,5]; GCNQ = x[.,4]; GCSQ = x[.,6]; GCDQ = x[.,3]; load x[189,3] = gdq.prn; GD = x[.,3]; load x[193,3] = gpop.prn; /* 46:01 - 94:1 */ x = x[5:193,.]; /* 47:01 - 94:4 */ gpop = x[.,3]; T = rows(year); year = year[1:T-1]; qtr = qtr[1:T-1]; gnpq = gnpq[1:T-1]; GVQ = gvq[1:T-1]; GVUQ = gvuq[1:T-1]; GVFQ = gvfq[1:T-1]; GNETQ = gnetq[1:T-1]; GGEQ = ggeq[1:T-1]; GPIQ = gpiq[1:T-1]; GIFQ = gifq[1:T-1]; GINQ = ginq[1:T-1]; GISQ = gisq[1:T-1]; GIPDQ = gipdq[1:T-1]; GIRQ = girq[1:T-1]; GCQ = gcq[1:T-1]; GCNQ = gcnq[1:T-1]; GCSQ = gcsq[1:T-1]; GCDQ = gcdq[1:T-1]; GD = gd[1:T-1]; GPOP = gpop[1:T-1]; save year,qtr,GNPQ,GVQ,GVUQ,GVFQ,GNETQ,GGEQ, GPIQ,GIFQ,GINQ,GISQ,GIPDQ,GIRQ, GCQ,GCNQ,GCSQ,GCDQ,GD,GPOP; /* /* ---------------------------------- */ /* load individual stock returns */ /* ---------------------------------- */ load x[553,41] = ind40.prn; indstret = 1+x[.,2:41]; save indstret; /* ----------------------------------------------- */ /* load vintiles produced from K. French program */ /* (1) ew20 = equal-weighted */ /* (2) vw20y = value-weighted each brk pt. */ /* (3) vw20m = value-weighted each monthly ret */ /* ----------------------------------------------- */ load x[539,22] = ew20.prn; mew20 = 1+x[.,3:22]; load x[539,22] = vw20y.prn; mvw20y = 1+x[.,3:22]; load x[539,22] = vw20m.prn; mvw20m = 1+x[.,3:22]; save mew20,mvw20m,mvw20y; /* ----------------------------------------------- */ /* load deciles produced from K.French program */ /* (1) ew10 = equal-weighted */ /* (2) vw10y = value-weighted each brk pt. */ /* (3) vw10m = value-weighted each monthly ret */ /* ----------------------------------------------- */ load x[539,12] = ew10.prn; mew10 = 1+x[.,3:12]; load x[539,12] = vw10y.prn; mvw10y = 1+x[.,3:12]; load x[539,12] = vw10m.prn; mvw10m = 1+x[.,3:12]; save mew10,mvw10m,mvw10y; */