Portfolio analysis is widely used in empirical asset pricing to explore the cross-sectional relation between two or more variables. In this article, we introduce the methodology of portfolio analysis and describe a new command, portfolio, that provides a one-step solution for portfolio analysis. portfolio calculates the equal- or value-weighted returns with a t statistic for the portfolio and tests the significance of a long-short strategy in portfolios. portfolio also provides the Newey–West standard-error adjustment option for alleviating the impact of potential autocorrelation and heteroskedasticity in financial time series.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.