Hi all,   I am trying to compute market value-weighted industry returns on a daily basis (7 years data). My sample contains returns for all the firms in the universe (firm_id), returns in percentage, industry_codes and market capitalization in dollars.   Sample   Firm_id     date            market_cap($)   returns       industry_code 11           02/04/2013      4500                   1.8              77 11           03/04/2013      4510                   -1                77  ................ 12          02/04/2013       6500                  2.5               88 12           03/04/2013      6530                   6                88 ................. 15          02/04/2013       8500                  -6               77 15           03/04/2013      8530                   3               77 ................................. 19          02/04/2013       15500                 4               77 19           03/04/2013      15530                -4               77   So, I want to compute industry returns for 02/04/2013 as - market_cap weighted returns for firms within the same industry_code but excluding the ith firm. For instance, industry returns for a firm coded 11 will be computed as (-6+4)/2 for 02/04/2013.   Regards, Amanjot     ... View more

Hi, Thanks for the help!   I have noticed, there is another column of audit year which looks like below. I want to create a dummy, where year=audit_year.   Firm ID Year Audit_year Dummy (what I want) 11 1990 . 0 11 1991 . 0 11 1992 1993 0 11 1993 . 1 11 1994 1995 0 11 1995 . 1 11 1996 . 0 12 2001 . 0 12 2002 2003 0 12 2003 . 1 12 2004 . 0 12 2005 . 0 12 2006 . 0 12 2007 . 0 12 2008 . 0 12 2009 . 0 In the latter table, audit years are one year ahead of YEAR. Please help with respect to the codes Regards, Amanjot   ... View more