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Financial statistics in Stata

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Listed:
  • David Schenck

    (StataCorp)

Abstract

This talk introduces a suite of new commands in Stata for financial statistics. These new commands are finreturns for easily building various types of asset returns from prices; finportfolio for constructing portfolios; finsummarize for computing summary statistics; finregress for running capital asset pricing model and Fama–MacBeth regressions; and finvalrisk for evaluating historical and model-based value at risk. I combine these commands with Stata's extensive time-series toolkit to demonstrate a workflow for analyzing financial data.

Suggested Citation

  • David Schenck, 2026. "Financial statistics in Stata," UK Stata Conference 2026 10, Stata Users Group.
    • Handle: RePEc:boc:lsug26:10
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