How may I CALCULATE THE EQUAL-WEIGHTED (EW) AND VALUE-WEIGHTED (VW) COMPOUND DAILY RETURN FOR THE SUBSEQUENT WEEK AND MONTH BEGINNING THE DAY AFTER A FIRM IS ASSIGNED TO THE MAX, MIN, OR COMPARISON PORTFOLIO BY SMALL, MEDIUM, BIG SIZE. Thx a lot!!!
DM'LOG; CLEAR; OUT; CLEAR; ODSRESULTS; CLEAR;';
%LET FOLDER=%STR(C:\USERS\ALAIN\ONEDRIVE\桌面\HIGH);
LIBNAME HIGH "&FOLDER";
DATA HH;
SET HIGH.HH;
IF CFACPR=0 THEN DELETE;
RUN;
DATA HH;
SET HH;
IF _N_ <=1000;
RUN;
PROC SORT
DATA=HH (KEEP =SHRCD EXCHCD PERMNO DATE PRC CFACPR SHROUT CFACSHR
WHERE =( SHRCD IN (10,11) AND EXCHCD IN (1,2,3,31,32,33) )
)
OUT=HL(DROP=SHRCD EXCHCD );
BY PERMNO DATE;
RUN;
DATA HL;
SET HL;
BY PERMNO DATE;
RETAIN H L 0;
P=ABS(DIVIDE (PRC, CFACPR));
IF FIRST.PERMNO THEN H = P;
IF FIRST.PERMNO THEN L = P;
H = MAX(H, P);
L = MIN(L, P);
DROP PRC CFACPR;
RUN; /* PERMNO DATE SHROUT CFACSHR H L P */
DATA MK (DROP=_:);
SET HL;
BY PERMNO DATE;
RETAIN _FIRST_DATE_QUALIFIED .
_H .
_H_DATE .
_L .
_L_DATE .
PORTFOLIO
;
LENGTH PORTFOLIO $11;
IF FIRST.PERMNO THEN DO;
CALL MISSING(OF _:);
_FIRST_DATE_QUALIFIED=INTNX('YEAR',DATE,1,'SAME')+1;
END;
IF _H=. THEN _H=P;
IF _L=. THEN _L=P;
IF P ^=. THEN DO;
IF P > _H AND DATE >= INTNX('MONTH', _H_DATE, 1, 'SAME') THEN DO;
_H=P;
_H_DATE=DATE;
PORTFOLIO='MAX';
END;
ELSE IF P < _L AND DATE >= INTNX('MONTH', _L_DATE, 1, 'SAME') THEN DO;
_L=P;
_L_DATE=DATE;
PORTFOLIO='MIN';
END;
ELSE PORTFOLIO='COMPARISON';
END;
IF DATE >= _FIRST_DATE_QUALIFIED THEN DO;
H = _H;
H_DATE = _H_DATE;
L = _L;
L_DATE = _L_DATE;
END;
IF DATE < _FIRST_DATE_QUALIFIED THEN DO;
PORTFOLIO = 'UNQUALIFIED';
END;
FORMAT H_DATE L_DATE YYMMDD10. ;
RUN;
DATA MV;
SET MK;
BY PERMNO DATE;
RETAIN
MV
LAST_MONTH_END;
LAST_MONTH_END = INTNX('MONTH', DATE, -1, 'END');
FORMAT LAST_MONTH_END YYMMDD10. ;
MV = P * (SHROUT*CFACSHR) ;
RUN;
data LMV;
set MV ;
by permno date ;
lag_MV = lag(MV);
if first.permno then call missing(lag_MV,previous_MV);
else if month(date) ne month(lag(date)) then previous_MV=lag_MV;
retain previous_MV;
drop lag_MV;
run;
PROC SORT DATA=LMV;
BY DATE PERMNO DESCENDING previous_MV;
RUN;
PROC RANK DATA=LMV OUT=RANKED_DATA GROUPS=4TIES=LOW;
BY DATE;
VAR previous_MV;
RANKS QUARTILE;
RUN;
DATA SMB;
SET RANKED_DATA;
RETAIN
SIZE
;
LENGTH SIZE $5;
IF QUARTILE=1THEN SIZE= 'SMALL';
ELSE IF QUARTILE=2 THEN SIZE= 'MID';
ELSE SIZE = 'BIG';
RUN;
DATA SMB;
SET SMB(OBS=500);
PUT (_ALL_) (+0);
RUN;
PROC SORT DATA = SORTED;
BY DATE SIZE_GROUP PORTFOLIO;
RUN;
DATA EW_RETURNS VW_RETURNS;
SET SORTED;
BY DATE SIZE_GROUP PORTFOLIO;
RETAIN EW_RET VW_RET 0;
IF FIRST.FLAG THEN DO;
EW_RET = 1;
VW_RET = 1;
SUM_MV = 0;
END;
EW_RET = EW_RET * (1 + RET);
SUM_MV = SUM_MV + LAST_MONTH_MV;
VW_RET = VW_RET * (1 + RET * LAST_MONTH_MV / SUM_MV);
IF LAST.PORTFOLIO THEN DO;
EW_RETURN = EW_RET - 1;
VW_RETURN = VW_RET - 1;
OUTPUT EW_RETURNS;
OUTPUT VW_RETURNS;
END;
RUN;
PROC REGRESS DATA = EW_RETURNS;
MODEL EW_RETURN = MKT_RF SMB HML UMD / NOINT;
OUTPUT OUT = EW_ALPHA
P = EW_ALPHA;
RUN;
PROC REGRESS DATA = VW_RETURNS;
MODEL VW_RETURN = MKT_RF SMB HML UMD / NOINT;
OUTPUT OUT = VW_ALPHA
P = VW_ALPHA;
RUN;
https://drive.google.com/file/d/1grx_6p-yVMVzrzvVjdtfwyFUjRpq10W6/view?usp=drive_link
Available on demand!
Missed SAS Innovate Las Vegas? Watch all the action for free! View the keynotes, general sessions and 22 breakouts on demand.
Learn how use the CAT functions in SAS to join values from multiple variables into a single value.
Find more tutorials on the SAS Users YouTube channel.