How to compute excess returns for several companies and dates?

Question

Ana 2014-4-25

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https://ww2.mathworks.cn/matlabcentral/answers/127152-how-to-compute-excess-returns-for-several-companies-and-dates

回答： Andrei Bobrov 2014-4-25

Hello,

I have the set of data below (For about 6000 companies and not only 3, and daily data until 2004).

What I need to do is, for each company at a time, set a new column - say column D - with Returns (col.C) minus the risk free rate (col.G) for the correspondent dates.

So for example, for company B it would be B8-G2, B9-G3 and so on. For company C it would be B14-G2 and etc.

Is there a simple way to do this? For example search, while the company code is the same, matching dates between column B and F and set a new array with the subtracted values?

Thank you so much in advance (I'm new to matlab)!

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Answer 1

Andrei Bobrov 2014-4-25

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https://ww2.mathworks.cn/matlabcentral/answers/127152-how-to-compute-excess-returns-for-several-companies-and-dates#answer_134556

在 MATLAB Online 中打开

ABC = {'A','B','C'}';
DATES = num2cell((19630101:100:19630601)');
ii = fullfact([3 6]);
Df = [ABC(ii(:,1)),DATES(ii(:,2))];
p = [1 2 1 0 1 1 ]'*.01;
[~,i0] = ismember(cell2mat(Df(:,2)), cell2mat(DATES));
pc = num2cell(p);
out = [Df,pc(i0)];