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portfolio: A command for conducting portfolio analysis in Stata

Author

Listed:
  • Hongbing Zhu

    (Hohai University)

  • Lihua Yang

    (Hohai University)

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.

Suggested Citation

  • Hongbing Zhu & Lihua Yang, 2022. "portfolio: A command for conducting portfolio analysis in Stata," Stata Journal, StataCorp LP, vol. 22(4), pages 941-957, December.
    • Handle: RePEc:tsj:stataj:v:22:y:2022:i:4:p:941-957
    DOI: 10.1177/1536867X221141021
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