Financial statistics in Stata

David Schenck
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David Schenck: StataCorp

UK Stata Conference 2026 from Stata Users Group

Abstract: This talk introduces a suite of new commands in Stata for financial statistics. These new commands are finreturns for easily building various types of asset returns from prices; finportfolio for constructing portfolios; finsummarize for computing summary statistics; finregress for running capital asset pricing model and Fama–MacBeth regressions; and finvalrisk for evaluating historical and model-based value at risk. I combine these commands with Stata's extensive time-series toolkit to demonstrate a workflow for analyzing financial data.

Date: 2026-09-05
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Persistent link: https://EconPapers.repec.org/RePEc:boc:lsug26:10

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