provide some explanation additionally to my screenshot DEFINE A FIRM’S HISTORICAL HIGH PRICE OF DATE OF 1962-12-31(1962HH) AS HIGHEST PRICE FROM 1926-01-01 TO 1962-12-31. DEFINE HISTORICAL HIGH PRICE SINCE 1963-01-01 TO 2023-12-31 IF PRICE OF 1963-01-01 BREAK THROUGH (1962HH), THEN HISTORICAL HIGH PRICE =THAT FIRM-DATE’S PRICE, ELSE 1962HH. FLAG BREAK UP THROUGH HISTORICAL HIGH (THE FIRST PORTFOLIO MAX ) : IF THAT FIRM-DATE’S PRICE> HISTORICAL HIGH PRICE AND THE NEW FLAG HAVE TO PASS THROUGH ONE MONTH. DEFINE EACH FIRM’S LAST MONTH’S MARKET VALUE= END OF LAST MONTH’S PRICE * END OF LAST MONTH’S SHARES OUTSTANDING PROC SORT DATA BY DATE PERMNO MARKET VALUE(SMALL TO BIG), AND GIVE EACH DATE PERMNO MARKET VALUE A RANK(1 T0 X), AND GIVE THE PERCENTILE BY RANK/TOTAL NUMBERS X. THE 0~<25% ARE GROUP BY SMALL SIZE, THE 25%~<50% ARE GROUP BY MEDIUM SIZE, THE 50%~100% ARE GROUP BY BIG SIZE. CALCULATE THE EQUAL-WEIGHTED (EW) AND VALUE-WEIGHTED (VW) COMPOUND DAILY RETURN FOR THE SUBSEQUENT WEEK AND MONTH BEGINNING THE DAY AFTER A FIRM IS ASSIGNED TO THE MAX, MIN, OR COMPARISON PORTFOLIO BY SMALL, MEDIUM, BIG SIZE. CLACULATE THE INTERCEPT FROM A REGRESSION OF THE DAILY PORTFOLIO RETURN ON FAMA AND FRENCH (1993) FACTORS AND THE CARHART (1997) MOMENTUM FACTOR.
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