各位先进大家好
我在跑这个程式时遇到一个问题跑到以下这行
market_return=xlsread(input_file,input_sheet,'p674:p1693');
Error in ==> C:\MATLAB6p5\work\Generate_variables.m
On line 16 ==> market_return=xlsread(input_file,input_sheet,'p674:p1693');
不知道出了什么问题呢?
我看使用手册xlsread的语法应该没有错
谢谢大家帮忙解惑
%%%%%%%%%%%%%%%%%%%%%%
% Generate_variables.m
%%%%%%%%%%%%%%%%%%%%%%
% Last modified: 09-03-2013
clear;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Generating equity premium, 1927:01-2011:12
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
disp('Generating equity premium');
input_file='Returns_econ_tech_data';
input_sheet='Monthly';
market_return=xlsread(input_file,input_sheet,'p674:p1693');
risk_free_lag=xlsread(input_file,input_sheet,'k673:k1692');
log_equity_premium=log(1+market_return)-log(1+risk_free_lag);
equity_premium=market_return-risk_free_lag;
output_file='Returns_econ_tech_results';
output_sheet='Equity premium';
xlswrite(output_file,[log_equity_premium equity_premium],...
output_sheet,'b2');
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Generating macroeconomic variables, 1927:01-2011:12
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
disp('Generating macroeconomic variables');
% Dividend-price ratio (log)
D12=xlsread(input_file,input_sheet,'c674:c1693');
SP500=xlsread(input_file,input_sheet,'b674:b1693');
DP=log(D12)-log(SP500);
% Dividend yield (log)
SP500_lag=xlsread(input_file,input_sheet,'b673:b1692');
DY=log(D12)-log(SP500_lag);
% Earnings-price ratio (log)
E12=xlsread(input_file,input_sheet,'d674:d1693');
EP=log(E12)-log(SP500);
% Payout ratio (log)
DE=log(D12)-log(E12);
% Book-to-market ratio
BM=xlsread(input_file,input_sheet,'e674:e1693');
% Net equity expansion
NTIS=xlsread(input_file,input_sheet,'j674:j1693');
% Treasury bill rate (annual %)
TBL=xlsread(input_file,input_sheet,'f674:f1693');
TBL=100*TBL;
% Long-term yield (annual %)
LTY=xlsread(input_file,input_sheet,'i674:i1693');
LTY=100*LTY;
% Long-term return (%)
LTR=xlsread(input_file,input_sheet,'m674:m1693');
LTR=100*LTR;
% Term spread (annual %)
TMS=LTY-TBL;
% Default yield spread
AAA=xlsread(input_file,input_sheet,'g674:g1693');
BAA=xlsread(input_file,input_sheet,'h674:h1693');
DFY=100*(BAA-AAA);
% Default return spread
CORPR=xlsread(input_file,input_sheet,'n674:n1693');
DFR=100*CORPR-LTR;
% Inflation (%, lagged)
INFL=xlsread(input_file,input_sheet,'l673:l1692');
INFL=100*INFL;
% Equity risk premium volatility (Mele 2007, JFE)
T=size(equity_premium,1);
RVOL=nan(T,1);
for t=12:T;
RVOL(t)=sqrt(pi/2)*sqrt(12)*(1/12)*sum(abs(equity_premium(t-11:t)));
end;
% Collecting economic variables
ECON=[DP DY EP DE RVOL BM NTIS TBL LTY LTR TMS DFY DFR INFL];
output_sheet='Macroeconomic variables';
xlswrite(output_file,ECON,output_sheet,'b2');
risk_free=xlsread(input_file,input_sheet,'k674:k1693');
E12=xlsread(input_file,input_sheet,'d674:d1693');
xlswrite(output_file,[risk_free E12],output_sheet,'q2');
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Generating technical indicators, various starting dates
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
disp('Generating technical indicators');
SP500=xlsread(input_file,input_sheet,'b674:b1693'); % 1927:01-2011:12
% MA indicators, 1927:12-2011:12
n_0_MA=1*11; % initial in-sample period, 1927:01-1927:11
MA_short=[1 2 3];
MA_long=[9 12];
MA_parameters=nan(length(MA_short)*length(MA_long),2);
for iter_1=1:length(MA_short);
for iter_2=1:length(MA_long);
MA_parameters((iter_1-1)*length(MA_long)+iter_2,:)=...
[MA_short(iter_1) MA_long(iter_2)];
end;
end;
S_MA=zeros(T-n_0_MA,length(MA_parameters)); % 1927:12-2011:12
for iter_t=1:length(S_MA);
for iter_i=1:length(MA_parameters);
short=mean(SP500(n_0_MA+iter_t-(MA_parameters(iter_i,1)-1):...
n_0_MA+iter_t));
long=mean(SP500(n_0_MA+iter_t-(MA_parameters(iter_i,2)-1):...
n_0_MA+iter_t));
if short>long;
S_MA(iter_t,iter_i)=1;
end;
end;
disp([iter_t S_MA(iter_t,:)]);
end;
output_sheet='Technical indicators';
xlswrite(output_file,S_MA,output_sheet,'b13');
% Momentum indicators, 1928:01-2011:12
n_0_MOM=1*12; % initial in-sample period, 1927:01-1927:12
MOM_parameters=[9 12];
S_MOM=zeros(T-n_0_MOM,length(MOM_parameters)); % 1928:01-2011:12
for iter_t=1:length(S_MOM);
for iter_i=1:length(MOM_parameters);
P_difference=SP500(n_0_MOM+iter_t)-...
SP500(n_0_MOM+iter_t-MOM_parameters(iter_i));
if P_difference>=0;
S_MOM(iter_t,iter_i)=1;
end;
end;
disp([iter_t S_MOM(iter_t,:)]);
end;
xlswrite(output_file,S_MOM,output_sheet,'h14');
% Volume-based indicators, 1950:12-2011:12
volume=xlsread(input_file,input_sheet,'r950:s1693'); % 1950:01-2011:12
T_VOL=size(volume,1);
n_0_VOL=1*12-1; % initial in-sample period, 1950:01-1950:11
VOL_short=[1 2 3];
VOL_long=[9 12];
VOL_parameters=nan(length(VOL_short)*length(VOL_long),2);
for iter_1=1:length(VOL_short);
for iter_2=1:length(VOL_long);
VOL_parameters((iter_1-1)*length(VOL_long)+iter_2,:)=...
[VOL_short(iter_1) VOL_long(iter_2)];
end;
end;
OBV=zeros(T_VOL,1);
for t_VOL=2:T_VOL;
P_change=SP500(T-T_VOL+t_VOL)-SP500(T-T_VOL+t_VOL-1);
if P_change>=0;
OBV(t_VOL)=volume(t_VOL);
else
OBV(t_VOL)=-volume(t_VOL);
end;
end;
OBV=cumsum(OBV); % 1950:01-2011:12
S_VOL=zeros(T_VOL-n_0_VOL,size(VOL_parameters,1)); % 1950:12-2011:12
for iter_t=1:size(S_VOL,1);
for iter_i=1:size(VOL_parameters,1);
short=mean(OBV(n_0_VOL+iter_t-...
(VOL_parameters(iter_i,1)-1):n_0_VOL+iter_t));
long=mean(OBV(n_0_VOL+iter_t-...
(VOL_parameters(iter_i,2)-1):n_0_VOL+iter_t));
if short>long;
S_VOL(iter_t,iter_i)=1;
end;
end;
disp([iter_t S_VOL(iter_t,:)]);
end;
xlswrite(output_file,S_VOL,output_sheet,'j289');