diff --git a/asv_bench/benchmarks/io/stata.py b/asv_bench/benchmarks/io/stata.py
index a7f854a853f50c..454eef4e282935 100644
--- a/asv_bench/benchmarks/io/stata.py
+++ b/asv_bench/benchmarks/io/stata.py
@@ -12,12 +12,12 @@ class Stata(BaseIO):
 
     def setup(self, convert_dates):
         self.fname = '__test__.dta'
-        N = 100000
-        C = 5
+        N = self.N = 100000
+        C = self.C = 5
         self.df = DataFrame(np.random.randn(N, C),
                             columns=['float{}'.format(i) for i in range(C)],
                             index=date_range('20000101', periods=N, freq='H'))
-        self.df['object'] = tm.makeStringIndex(N)
+        self.df['object'] = tm.makeStringIndex(self.N)
         self.df['int8_'] = np.random.randint(np.iinfo(np.int8).min,
                                              np.iinfo(np.int8).max - 27, N)
         self.df['int16_'] = np.random.randint(np.iinfo(np.int16).min,
@@ -36,4 +36,14 @@ def time_write_stata(self, convert_dates):
         self.df.to_stata(self.fname, self.convert_dates)
 
 
+class StataMissing(Stata):
+    def setup(self, convert_dates):
+        super(StataMissing, self).setup(convert_dates)
+        for i in range(25):
+            missing_data = np.random.randn(self.N)
+            missing_data[missing_data < 0] = np.nan
+            self.df['missing_{0}'.format(i)] = missing_data
+        self.df.to_stata(self.fname, self.convert_dates)
+
+
 from ..pandas_vb_common import setup  # noqa: F401
diff --git a/doc/source/whatsnew/v0.25.0.rst b/doc/source/whatsnew/v0.25.0.rst
index 8e72ce83ac0280..b298acdc57cf3c 100644
--- a/doc/source/whatsnew/v0.25.0.rst
+++ b/doc/source/whatsnew/v0.25.0.rst
@@ -235,7 +235,7 @@ I/O
 - Bug in :func:`json_normalize` for ``errors='ignore'`` where missing values in the input data, were filled in resulting ``DataFrame`` with the string "nan" instead of ``numpy.nan`` (:issue:`25468`)
 - :meth:`DataFrame.to_html` now raises ``TypeError`` when using an invalid type for the ``classes`` parameter instead of ``AsseertionError`` (:issue:`25608`)
 - Bug in :meth:`DataFrame.to_string` and :meth:`DataFrame.to_latex` that would lead to incorrect output when the ``header`` keyword is used (:issue:`16718`)
--
+- Improved performance in :meth:`pandas.read_stata` and :class:`pandas.io.stata.StataReader` when converting columns that have missing values (:issue:`25772`)
 
 
 Plotting
diff --git a/pandas/io/stata.py b/pandas/io/stata.py
index 62a9dbdc4657ea..221e6c25022bc1 100644
--- a/pandas/io/stata.py
+++ b/pandas/io/stata.py
@@ -31,7 +31,8 @@
 from pandas.core.dtypes.common import (
     ensure_object, is_categorical_dtype, is_datetime64_dtype)
 
-from pandas import DatetimeIndex, compat, isna, to_datetime, to_timedelta
+from pandas import (DatetimeIndex, compat, isna, to_datetime, to_timedelta,
+                    concat)
 from pandas.core.arrays import Categorical
 from pandas.core.base import StringMixin
 from pandas.core.frame import DataFrame
@@ -1572,7 +1573,7 @@ def read(self, nrows=None, convert_dates=None,
             data = DataFrame.from_dict(OrderedDict(data_formatted))
         del data_formatted
 
-        self._do_convert_missing(data, convert_missing)
+        data = self._do_convert_missing(data, convert_missing)
 
         if convert_dates:
             cols = np.where(lmap(lambda x: any(x.startswith(fmt)
@@ -1616,7 +1617,7 @@ def read(self, nrows=None, convert_dates=None,
 
     def _do_convert_missing(self, data, convert_missing):
         # Check for missing values, and replace if found
-
+        replacements = {}
         for i, colname in enumerate(data):
             fmt = self.typlist[i]
             if fmt not in self.VALID_RANGE:
@@ -1646,8 +1647,14 @@ def _do_convert_missing(self, data, convert_missing):
                     dtype = np.float64
                 replacement = Series(series, dtype=dtype)
                 replacement[missing] = np.nan
-
-            data[colname] = replacement
+            replacements[colname] = replacement
+        if replacements:
+            columns = data.columns
+            replacements = DataFrame(replacements)
+            data = concat([data.drop(replacements.columns, 1),
+                           replacements], 1)
+            data = data[columns]
+        return data
 
     def _insert_strls(self, data):
         if not hasattr(self, 'GSO') or len(self.GSO) == 0:
@@ -1712,7 +1719,7 @@ def _do_convert_categoricals(self, data, value_label_dict, lbllist,
                 except ValueError:
                     vc = Series(categories).value_counts()
                     repeats = list(vc.index[vc > 1])
-                    repeats = '\n' + '-' * 80 + '\n'.join(repeats)
+                    repeats = '\n' + '-' * 80 + '\n' + '\n'.join(repeats)
                     raise ValueError('Value labels for column {col} are not '
                                      'unique. The repeated labels are:\n'
                                      '{repeats}'