rolling betas

Dowon1 — Tue, 27 Mar 2018 11:56:28 GMT

Dear all,

I'm working on a regression with rolling beta.

My regression starts from 2004/01/31 to 2017/12/31.

Based on 60 monthly returns, estimated betas for each of the two stocks at the end of each year for the recent 10 years.

For example, 2004/01/31 to 2008/12/31, 2005/01/31 to 2009/12/31, 2006/01/31 to 2010/12/31, ...., 2013/01/31 to 2017/12/31

It is to obtain period beta for stock A and B by 10 periods.

Here are my expected results:

beta (A) beta (B)

period 1 (2004/01/31 ~ 2008/12/31) x.xx x.xx

period 2 (2005/01/31 ~ 2009/12/31) x.xx x.xx

: : :

period10 (2013/01/31 ~ 2017/12/31) x.xx x.xx

SAS code in my textbook is following.

How should I fix it?

data aaa ;

set beta.beta ;

keep cusip date ret sprtrn ;

format date yymmdd6. ;

rename cusip=firm ret=r sprtrn=rm ;

run ;

proc sort data=aaa ;

by firm date ;

run ;

data begin (keep=firm bgndate) end (keep=firm enddate) ;

set aaa ;

by firm ;

if first.firm then do ;

bgndate=date ;

format bgndate yymmdd6. ;

output begin ;

end ;

if last.firm then do ;

enddate=date ;

format enddate yymmdd6. ;

output end ;

end ;

run ;

data length ;

merge begin end ;

by firm ;

* delete firms with too few return days ;

if bgndate > mdy (01,31,13) then delete ;

if enddate < mdy (12,31,08) then delete ;

keep firm ;

run ;

data gooddata ;

merge aaa length (in=a) ;

by firm ;

if a ;

n + 1 ;

if first.firm then n=1 ;

run ;

%macro estim ;

%do x = 50 %to 66 ;

data temp ;

set gooddata ;

if &x - 49 <= n <= &x ;

per = &x ;

proc reg data = temp outest = results ;

model r = rm ;

by firm per ;

quit ;

proc append base = betas1 data = results ;

%end ;

%mend estim ;

%estim ;

run ;

Here is example data(data=aaa).

Date firm r rm

040129 45920010 0.01234 0.00134

040227 45920010 0.00123 -0.00145

: : : :

171227 45920010 0.12398 0.00258

040129 59491810 0.01234 0.00134

040227 59491810 0.00123 -0.00145

: : : :

171227 59491810 0.12398 0.00258

Re: rolling betas

PaigeMiller — Tue, 27 Mar 2018 12:01:22 GMT

SAS code in my textbook is following.

How should I fix it?

What is wrong with it? Please be specific.

Re: rolling betas

Ksharp — Tue, 27 Mar 2018 12:47:57 GMT

1) Make a dataset (Key_Table) like :

id start end

1 2004/01/31 2008/12/31

1 2005/01/31 2009/12/31

1 2013/01/31 2017/12/31

2) Make a macro .

%macro estim (id=,start=,end=);

proc reg data =have(where=(id=&id and date between &start and &end)) outest = results ;

model r = rm ;

by firm per ;

quit ;

proc append base = betas1 data = results ;

%end ;

%mend estim ;

3) CALL EXECUTE() to go through.

data _null_;

set Key_Table;

call execute(cats('%estim (id=',id,',start=',start,',end=',end,')'));

run;

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