EJMR

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      name:  <unnamed>
       log:  C:\Users\Kirk\EJMR.log
  log type:  text
 opened on:  17 Feb 2018, 02:10:07

. set more off

.
. use "C:\Users\Kirk\Data.dta", clear

.
. *Labels
. label variable cetr "Cash ETR"

. label variable getrd "GAAP ETR"

. label variable lagcetr "Lag Cash ETR"

. label variable laggetr "Lag GAAP ETR"

. label variable ior9 "IO"

.
. *Other variable descriptions:
. *"rj" is an indicator variable equal to 1 if the firm is in the Russell 2000 (0 if

Russell 1000) in reconstitution year t
. *"junerank" is the ranking based on the Russell-provided June index weights.
. *"rank" is the ranking based on market capitalization at the end of May from CRSP.
. *The "june/rank1000" variables are the rankings centered at 1000.
. *"maymve" is market capitalization at the end of May from CRSP.
. *"june/rankd" is the interaction of "rj" and the ranking variable.
.
. // AB and SK code
. drop rank1000 rankd

. sort rj year maymve

. quietly by rj year: gen rank1000=cond(_N==1,0,_n) // Re-rank within index

. replace rank1000=rank1000-1000 if rj==0
(10993 real changes made)

. gen rankd=rank1000*rj

.
. reg maymve rj rank1000 rankd i.year, r cl(permno)

Linear regression                                      Number of obs =   32964
                                                       F( 13,  6475) =  279.19
                                                       Prob > F      =  0.0000
                                                       R-squared     =  0.2822
                                                       Root MSE      =   13435

                              (Std. Err. adjusted for 6476 clusters in permno)
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             |               Robust
      maymve |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
          rj |  -31364.32   2489.285   -12.60   0.000    -36244.14    -26484.5
    rank1000 |   41.90074   3.714215    11.28   0.000     34.61965    49.18183
       rankd |  -41.35708   3.714282   -11.13   0.000     -48.6383   -34.07586
             |
        year |
       1997  |   511.7376   82.97699     6.17   0.000     349.0752    674.3999
       1998  |   1343.157   137.2277     9.79   0.000     1074.145    1612.168
       1999  |   1952.251   223.0467     8.75   0.000     1515.005    2389.496
       2000  |    2606.53   315.8683     8.25   0.000     1987.324    3225.736
       2001  |   2187.218   269.6485     8.11   0.000     1658.618    2715.818
       2002  |   1667.576   213.4064     7.81   0.000     1249.229    2085.923
       2003  |   1345.776   203.3764     6.62   0.000      947.091    1744.461
       2004  |   2088.154   234.1592     8.92   0.000     1629.124    2547.183
       2005  |   2376.089   239.2053     9.93   0.000     1907.167     2845.01
       2006  |   2768.279   242.4165    11.42   0.000     2293.062    3243.495
             |
       _cons |   29639.37   2338.173    12.68   0.000     25055.78    34222.96
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end of do-file