如何计算资本资产模型CAPM的预排序beta

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Liu, J., Stambaugh, R. F., & Yuan, Y. (2019). Size and value in China.

Journal of Financial Economics

,

134

(1), 48-69.的这篇论文中的fama-macbeth回归。

原文中表格2 fama-macbeth回归中对于beta的解释是：The regressors include preranking CAPM beta_t estimated using the past 12 months of daily returns with a five-lag Dimson(1979) correction.....

意思大概是：预排序CAPM的beta估计使用的是过去12个月的日回报并进行了5期滞后的Dimson校正。

我现在有个股的日回报数据和市场的日回报数据，却不知道要怎么样用Stata生成

预排序CAPM的beta估计？

以下是部分数据：

1. * Example generated by -dataex-. To install: ssc install dataex
   
2. clear
   
3. input long stkcd str12 交易日期 float(R_Rf_day MKT_day)
   
4. 1 "2007-01-04" -.024947     .008444
   
5. 1 "2007-01-05" -.074483     .009712
   
6. 1 "2007-01-08"  .023669  .033451997
   
7. 1 "2007-01-09"  .032094     .029417
   
8. 1 "2007-01-10"  .020222     .025853
   
9. 1 "2007-01-11"  .049648    -.005822
   
10. 1 "2007-01-12"      .05    -.029051
    
11. 1 "2007-01-15"   .05019     .055551
    
12. 1 "2007-01-16"  .044104     .030363
    
13. 1 "2007-01-17" -.000068    -.015215
    
14. 1 "2007-01-18" -.049422     .009805
    
15. 1 "2007-01-19"  .047522     .035051
    
16. 1 "2007-01-22"   .04772     .043912
    
17. 1 "2007-01-23"  .019076     .006217
    
18. 1 "2007-01-24" -.021615     .010732
    
19. 1 "2007-01-25" -.017572    -.037898
    
20. 1 "2007-01-26"  .049932     .018027
    
21. 1 "2007-01-29"   .04974     .028838
    
22. 1 "2007-01-30"  .049984    -.007463
    
23. 1 "2007-01-31" -.050217    -.059941
    
24. 1 "2007-02-01" -.035092     .005792
    
25. 1 "2007-02-02" -.049905    -.033486
    
26. 1 "2007-02-05" -.048529     -.00427
    
27. 1 "2007-02-06"  .049662     .020786
    
28. 1 "2007-02-07"   .05016     .021673
    
29. 1 "2007-02-08"  .037975  .017985001
    
30. 1 "2007-02-09" -.037241     -.00249
    
31. 1 "2007-02-12"  .049959  .033483997
    
32. 1 "2007-02-13"  .018057  .016745001
    
33. 1 "2007-02-14"  .045202     .025011
    
34. 1 "2007-02-15" -.002014  .031345997
    
35. 1 "2007-02-16"  .014071     .006707
    
36. 1 "2007-02-26" -.028433     .022077
    
37. 1 "2007-02-27" -.050043    -.091307
    
38. 1 "2007-02-28" -.007881     .041525
    
39. 1 "2007-03-01" -.049937    -.025932
    
40. 1 "2007-03-02"  .004904     .015384
    
41. 1 "2007-03-05" -.037451    -.007767
    
42. 1 "2007-03-06"  .050189     .012473
    
43. 1 "2007-03-07"  .011895     .026996
    
44. 1 "2007-03-08"  .015515  .017737001
    
45. 1 "2007-03-09"  .003107    -.002969
    
46. 1 "2007-03-12" -.029604     .010064
    
47. 1 "2007-03-13"  .006997     .010568
    
48. 1 "2007-03-14"  -.02921    -.012304
    
49. 1 "2007-03-15"  .021055     .019557
    
50. 1 "2007-03-16" -.017488    -.016452
    
51. 1 "2007-03-19"  .049786     .019269
    
52. 1 "2007-03-20" -.000603     .011984
    
53. 1 "2007-03-21"  .050083     .013991
    
54. 1 "2007-03-22"  .002942     .004098
    
55. 1 "2007-03-23" -.028646      .00665
    
56. 1 "2007-03-26" -.011427     .022403
    
57. 1 "2007-03-27" -.008948     .010577
    
58. 1 "2007-03-28"  .004664    -.001461
    
59. 1 "2007-03-29"  .004118 -.016518999
    
60. 1 "2007-03-30" -.014689     .003794
    
61. 1 "2007-04-02"  .021111      .02472
    
62. 1 "2007-04-03"  .003556     .014521
    
63. 1 "2007-04-04"  .027832  .008971999
    
64. 1 "2007-04-05"  .003444     .014189
    
65. 1 "2007-04-06" -.019614     .011237
    
66. 1 "2007-04-09"   .00759     .021759
    
67. 1 "2007-04-10"   .02883     .012696
    
68. 1 "2007-04-11"   .04921     .013284
    
69. 1 "2007-04-12"  .049714     .020606
    
70. 1 "2007-04-13"  .050037    -.002677
    
71. 1 "2007-04-16"  .011003     .029652
    
72. 1 "2007-04-17" -.032945     .016314
    
73. 1 "2007-04-18"  .001668     .014249
    
74. 1 "2007-04-19" -.050097    -.051523
    
75. 1 "2007-04-20"  .034724     .048912
    
76. 1 "2007-04-23"  .049925     .044917
    
77. 1 "2007-04-24" -.008503     .006216
    
78. 1 "2007-04-25"  .050074    -.000048
    
79. 1 "2007-04-26"  .050107     .014011
    
80. 1 "2007-05-08"  .050021      .04083
    
81. 1 "2007-05-09"  .005797     .004633
    
82. 1 "2007-05-10"  -.02233     .007758
    
83. 1 "2007-05-11"  .039104    -.005004
    
84. 1 "2007-05-25"  .049827     .017243
    
85. 1 "2007-05-28" -.021971     .022427
    
86. 1 "2007-05-29"  .005511     .022423
    
87. 1 "2007-05-30" -.050153    -.076618
    
88. 1 "2007-05-31"  .050063    -.010313
    
89. 1 "2007-06-20"  .196082    -.024167
    
90. 1 "2007-06-21"  .099949 .0042890003
    
91. 1 "2007-06-22"  .031686    -.043654
    
92. 1 "2007-06-25" -.005733    -.051368
    
93. 1 "2007-06-27" -.084742     .028168
    
94. 1 "2007-06-28" -.064639    -.053493
    
95. 1 "2007-06-29" -.087011    -.033326
    
96. 1 "2007-07-02" -.004443      .00211
    
97. 1 "2007-07-03" -.006287  .018155001
    
98. 1 "2007-07-04" -.037909     -.02305
    
99. 1 "2007-07-05" -.038251    -.058765
    
100. 1 "2007-07-06"  .071742     .051763
     
101. 1 "2007-07-09"  .040272     .031134
     
102. 1 "2007-07-10"  .012373     -.01715
     
103. 1 "2007-07-11" -.011682     .006073
     
104. end

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关键词：beta CAPM cap APM ETA CAPM pre-ranking beta

stata跑,把日度的return回归到滞后共5天的MKT上,然后系数求均值就行,公式参考https://zhuanlan.zhihu.com/p/385187478