想请教老师一下,在FF模型构造SMB和HML因子时,程序如下:
gen SL=return
replace SL=. if lnsize_2!=1 | lnbm_3!=1
bysort month1: egen ret_SL=mean(SL)
gen SM=return
replace SM=. if lnsize_2!=1 | lnbm_3!=2
bysort month1: egen ret_SM=mean(SM)
gen SH=return
replace SH=. if lnsize_2!=1 | lnbm_3!=3
bysort month1: egen ret_SH=mean(SH)
gen BL=return
replace BL=. if lnsize_2!=2 | lnbm_3!=1
bysort month1: egen ret_BL=mean(BL)
gen BM=return
replace BM=. if lnsize_2!=2 | lnbm_3!=2
bysort month1: egen ret_BM=mean(BM)
gen BH=return
replace BH=. if lnsize_2!=2 | lnbm_3!=3
bysort month1: egen ret_BH=mean(BH)
gen smb=(ret_SL+ret_SM+ret_SH-ret_BL-ret_BM-ret_BH)/3
gen hml=(ret_SH+ret_BH-ret_SL-ret_BL)/2
可是这样产生的缺失值过多,导致后面运用GMM联合检验27个资产组合定价效果时无法回归,那么可以在计算之前进行如下处理吗?
replace ret_SL=0 if ret_SL==.
replace ret_SM=0 if ret_SM==.
replace ret_SH=0 if ret_SH==.
replace ret_BL=0 if ret_BL==.
replace ret_BM=0 if ret_BM==.
replace ret_BH=0 if ret_BH==.
gen smb=(ret_SL+ret_SM+ret_SH-ret_BL-ret_BM-ret_BH)/3
gen hml=(ret_SH+ret_BH-ret_SL-ret_BL)/2