topic Re: Estimate Jensen`s alpha (calendar-time portfolio return ) in SAS Forecasting and Econometrics https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Estimate-Jensen-s-alpha-calendar-time-portfolio-return/m-p/160484#M1012 <HTML><HEAD></HEAD><BODY><P><A href="http://www.lexjansen.com/nesug/nesug12/cc/cc12.pdf" title="http://www.lexjansen.com/nesug/nesug12/cc/cc12.pdf">http://www.lexjansen.com/nesug/nesug12/cc/cc12.pdf</A></P></BODY></HTML> Fri, 07 Nov 2014 16:06:04 GMT loredana_cornea 2014-11-07T16:06:04Z Estimate Jensen`s alpha (calendar-time portfolio return ) https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Estimate-Jensen-s-alpha-calendar-time-portfolio-return/m-p/160483#M1011 <HTML><HEAD></HEAD><BODY><P><SPAN style="color: #252c2f; font-family: Helvetica, Arial, Verdana, sans-serif; background-color: #ebf4f9;">Hi All</SPAN></P><P></P><P><SPAN style="color: #252c2f; font-family: Helvetica, Arial, Verdana, sans-serif; background-color: #ebf4f9;">I need to calculate ​calculate calendar-time portfolio returns using Jensen-alpha or Farma &amp; French 3 Factor model for SEO firms to estimate 3 year abnormal return. </SPAN></P><P></P><P><SPAN style="color: #252c2f; font-family: Helvetica, Arial, Verdana, sans-serif; background-color: #ebf4f9;">I have googled for a couple of days to find a starting point to build the portfolios. Still couldn't find any sample code on this. </SPAN></P><P><SPAN style="color: #252c2f; font-family: Helvetica, Arial, Verdana, sans-serif; background-color: #ebf4f9;">Can anybody share me a code or guide me to <SPAN class="GINGER_SOFTWARE_mark" id="da0f8033-35d7-4440-aa49-0a052d172698">hoe</SPAN> to code this<SPAN class="GINGER_SOFTWARE_mark" id="d84bf497-2972-4904-927c-b1e840e2957e"> ?</SPAN> </SPAN></P><P></P><P><SPAN style="color: #252c2f; font-family: Helvetica, Arial, Verdana, sans-serif; background-color: #ebf4f9;">Thanks in Advance</SPAN></P></BODY></HTML> Fri, 07 Nov 2014 04:28:33 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Estimate-Jensen-s-alpha-calendar-time-portfolio-return/m-p/160483#M1011 SamJVictor 2014-11-07T04:28:33Z Re: Estimate Jensen`s alpha (calendar-time portfolio return ) https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Estimate-Jensen-s-alpha-calendar-time-portfolio-return/m-p/160484#M1012 <HTML><HEAD></HEAD><BODY><P><A href="http://www.lexjansen.com/nesug/nesug12/cc/cc12.pdf" title="http://www.lexjansen.com/nesug/nesug12/cc/cc12.pdf">http://www.lexjansen.com/nesug/nesug12/cc/cc12.pdf</A></P></BODY></HTML> Fri, 07 Nov 2014 16:06:04 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Estimate-Jensen-s-alpha-calendar-time-portfolio-return/m-p/160484#M1012 loredana_cornea 2014-11-07T16:06:04Z