capt log close
set more off
clear all
set memory 200m
log using proxy_returns2bis2010, replace
* cfb 5804, revised sheet Chuck 5A06
* cfb 6706, revised sheet 6703
* revised to pull in CRSP vwretd 6413
* keep returns data for firms flagged in proxy_proxyP2  rev 8620
* cfb 8928  rev to append with original
* cfb 0422  modified to pull in updated CRSP data, including vwretd in same file

cd "/Users/baum/documents/ Chucky/    ChuckLitGov2/"

loc in1 monret2008
/*
use CRSPmonNAQ,clear
keep ym vwretd
save mktret,replace
use monRet, clear
*/
use `in1', clear
g ym = mofd(date)
format ym %tm
sort ym
su ym,mean
local ymmin = r(min)
local ymmax = r(max)
/*
merge ym using mktret, uniqusing
drop if _merge<3
drop _merge
*/

g double abret = ret - vwretd

sort permno date
merge permno using proxy_proxyP2, uniqusing
tab _merge
* keep returns for those firms matched in proxy
keep if _merge==3
drop _merge
rename ym month
// g month = mofd(date)
format month %tm
keep permno ret abret month

* make returns wide so that they can be merged on to proxy
reshape wide ret abret, i(permno) j(month)
// forv i=396/539 {
forv i=`ymmin'/`ymmax' {
	di "`i' -> " %tm `i'
}
sort permno
save proxy_returns2,replace
* do the merge
use proxy_proxyN2, clear
sort permno
merge permno using proxy_returns2, uniqusing
tab _merge
drop if _merge<3
drop _merge
sort case_code year
save proxy_proxyR2, replace
list in 1
list in l
summ
tab extd
log close
set more on
log2html proxy_returns2bis2010, replace