I would like to conduct a study where I build a factor model based on the characteristics/variables I have collected about firms, using a couple of countries.
I have acquired two Excel data files from CompuStat :
Monthly index prices (MSCI WORLD INDEX) (1950-2017)
Monthly financial statement data (like P / E ratio, B / P ratio) of different firms over the period 1950-2017. The companies all have a company key (GVKEY) as a filter option in Excel.
So I think I first need to merge the data based on the GVKEY and date. That would not be any problem, but the main problems are:
- Some companies do not have values for one or more variables at certain time points and not all firms have the time period 1950-2017, some start at 1993 for example.
Does anyone have any suggestions of how to deal with the problem and merging the data and how I can conduct my study? Does someone have a step-by-step plan or something for me?
Could this task be as simple as regressing average returns for a stock with its different factors? I heard that I need to do something with creating risk factors through regressions, making portfolio's and sorting on characteristics and using something like a fama-macbeth regression. The problem is that I do not know the hard-programming to figure out how to construct portfolio's etc..
I'd be grateful for any help, I want to use STATA!