文献来源The annualized standard deviation of daily fund returns in a semi-year.Luo, D., et al. (2022). Bubble-crash experience and investment styles of mutual fund managers. Journal of Corporate Finance.数据来源清洗数据use Fund_NAV_2023, clear
keep T
duplicates drop
so T
g t = _n
save 0, replace
*
use Fund_NAV_2023, clear
merge m:1 T using 0, nogen
order t
keep Acc An t T S
so S t
xtset S t
g r = D.Ac/L.Ac
replace r = An/100 if mi(r)
keep T S r
winsor r, g(r_) p(.01)
drop if mi(r)
drop r
la var r 基金累计净值回报
g year = substr(T,1,4)
destring y, force replace
save 基金累计净值回报, replace
d
ta y
kdensity r
*
use 基金累计净值回报, clear
g m = substr(T,6,2)
destring m, force replace
g Mon = m >= 7
replace M = (M + 1)*6
bys y S M: egen Vol = sd(r)
keep S y M V
order S y M V
duplicates drop
la var V 基金波动
save 基金波动, replace
d
ta y
kdensity V得到结果回报Contains data from 基金累计净值回报.dta
Observation
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