delisting return CRSP

Nieves — Thu, 20 Sep 2018 02:48:11 GMT

Hi SAS experts,

How to implement the following requirement for adjusting delisting return ?

if a stock disappears from CRSP,its delisting return (dlret) is used in the month after its last month of reported returns (ret)

For example:

data.have is as follows:

permno	date	prc	ret	dlprc	dlret

10000	1-Jun-87	-0.21875	0
10000	2-Jun-87	-0.21875	0
10000	3-Jun-87	-0.21875	0
10000	4-Jun-87	-0.21875	0
10000	5-Jun-87	-0.21875	0
10000	8-Jun-87	-0.21875	0
10000	9-Jun-87	-0.21875	0
10000	10-Jun-87	-0.21875	0
10000	11-Jun-87	-0.21875	0	-0.21875	0

data want:

permno	date	prc	ret	dlprc	dlret

10000	1-Jun-87	-0.21875	0
10000	2-Jun-87	-0.21875	0
10000	3-Jun-87	-0.21875	0
10000	4-Jun-87	-0.21875	0
10000	5-Jun-87	-0.21875	0
10000	8-Jun-87	-0.21875	0
10000	9-Jun-87	-0.21875	0
10000	10-Jun-87	-0.21875	0
10000	11-Jun-87	-0.21875	0	-0.21875	0

10000

12-Jun-87

-0.21875

Is it correct to use the following code to implement:

if not missing(dlret) and last.permno then ret = dlret;

Re: delisting return CRSP

Quentin — Mon, 17 Sep 2018 09:56:09 GMT

Please add some sample data your to question, and show the output data you want to create from that sample data. That would help people who are unfamiliar with financial analysis. Also please show what code you have tried, and describe how it is failing.

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delisting return CRSP

Re: delisting return CRSP