The data contains more than 2500 mutual funds. The structure of my dataset is as following: Datem crsp_fundno RMEX mret where crsp_fundno is the fund’s identifier, datem is in BEST12. format, RMEX is the market return and mret is the mutual fund return. datem range from 201201 to 201612. The idea is to design a rolling sample period. In my case, each subsample is 12 months in length and the windows move ahead 1 month per loop. 201201-201212 (subsample 1), 201202-2013-01 (subsample 2), and so on. This procedure must be applied fund by fund. Once this step is successful, the regressions can be conducted by datem and crsp_fundno. The second attachment, which seems to open, shows that the result obtained is incorrect. Thank you!
... View more