/* (J,K) = (6,6) */

sort smth

gen rk6_0 = 1

forval i = 10(10)90 {

  by smth: egen tmp = pctile(lnret6), p(`i')

  replace rk6_0 = (`i'/10)+1 if lnret6 > tmp

  drop tmp

}

replace rk6_0 = . if lnret6 == .

/* For each month, calculate the decile values for all stocks with non-missing returns over past J months

   Then, rank stocks into 10 groups (1(lowest) to 10(highest)). */

tsset permno smth

forval i=1/5 {

  gen rk6_`i' = L`i'.rk6_0

}

/* Generate ranking in past 5 months */

/* In each month, 6 portfolios are formed based on current and past 5 rankings */

forval i = 0/5 {

  preserve

  collapse (mean) ret_`i'=ret, by(date smth rk6_`i')

  rename rk6_`i' rk6

  save tmp`i', replace

  restore

}

/* Calculate equally-weighted return for each of the decile-rank portfolio */

use tmp0.dta, clear

forval i = 1/5 {

  merge 1:1 date smth rk6 using tmp`i'

  drop _merge

  save tmp.dta, replace

}

/* Merge all 6 portfolio returns together */