% does repetitive calculations for crspreg
function docrspreg(ret,vwretd,spretd,tb3mret); 

disp('     mean monthly arithmetic return, % and *12'); 
er = mean(ret);
disp([100*er 1200*er]); 
disp('     sd monthly arithmetic return, % and *root 12'); 
sdr = std(ret); 
disp([100*sdr 100*12^0.5*sdr]); 

disp('     number frequency of -100% returns, then total nunmber. zeros ignored in log return calculations %'); 
disp([sum(ret==-1) sum(ret==-1)/rows(ret) rows(ret)]); 
    disp('     mean and sd of log monthly returns, % and *12'); 
    elnr = mean(log(1+ret(ret>-1))); 
    sdlnr = std(log(1+ret(ret>-1))); 
    disp([100*elnr 100*12^0.5*elnr]); 
    disp([100*sdlnr 100*12^0.5*sdlnr]); 
    disp('     mean arithmetic returns  implied by lognormal model -- monthly and annual'); 
    disp([100 1200]*(exp(elnr+1/2*sdlnr^2)-1)); 

   
% regressions on market returns

lhv = ret-tb3mret; 
rhv = [ones(rows(vwretd),1) vwretd-tb3mret]; 
lags = 0; 
weight = 0; 
[bv,sebv,R2v,R2vadj,v,F] = olsgmm(lhv,rhv,lags,weight);
disp('     monthly CAPM in levels, VWNYSE. 1200*alpha 1200*se(alpha) beta se(beta) 100*adj R2'); 
disp([bv(1)*1200 sebv(1)*1200 bv(2) sebv(2) 100*R2vadj]); 

rhv = [ones(rows(spretd),1) spretd-tb3mret]; 
[bv,sebv,R2v,R2vadj,v,F] = olsgmm(lhv,rhv,lags,weight);
disp('     monthly CAPM in levels, S&P500. 1200*alpha 1200*se(alpha) beta se(beta) 100*adj R2'); 
disp([bv(1)*1200 sebv(1)*1200 bv(2) sebv(2) 100*R2vadj]); 

lhv = log(1+ret(ret>-1))-log((1+tb3mret(ret>-1))); 
rhv = [ones(rows(ret(ret>-1)),1) log(1+vwretd(ret>-1))-log(1+tb3mret(ret>-1))]; 
[bv,sebv,R2v,R2vadj,v,F] = olsgmm(lhv,rhv,lags,weight);
disp('     monthly CAPM in logs, VWNYSE. 1200*alpha 1200*se(alpha) beta se(beta) 100*adj R2'); 
disp([bv(1)*1200 sebv(1)*1200 bv(2) sebv(2) 100*R2vadj]); 

rhv = [ones(rows(ret(ret>-1)),1) log(1+spretd(ret>-1))-log(1+tb3mret(ret>-1))]; 
[bv,sebv,R2v,R2vadj,v,F] = olsgmm(lhv,rhv,lags,weight);
disp('     monthly CAPM in logs, S&P500. 1200*alpha 1200*se(alpha) beta se(beta) 100*adj R2'); 
disp([bv(1)*1200 sebv(1)*1200 bv(2) sebv(2) 100*R2vadj]);