Eventstudy: Can I use conditioning like: if row 1 satisfies a criteria, use row 2 for calculation?

LucyDang — Sat, 22 Dec 2018 08:10:47 GMT

Hello SAS gurus,

I am calculating the cumulative abnormal return for an event study. I used the event window of (-180, +1). 0 is the event; +1 day is the next day of the event. I suppose to calculate +1 day in workdays only.

Please see the example datalines below. In this file, I have some variables for one stock: date, eventdate, ticker $, mrkReturn (return of the market), return (of this stock), before (#of days before/after the event date, before=date-eventdate), and wday (check the weekday of each date, from 2=monday to 6=friday).

data now;
input date eventdate ticker $ mrkReturn return before wday;
datalines;
20120830 20120831 AA -0.007806 -0.01171 -1 5
20120831 20120831 AA 0.005073 0.014218 0 6
20120904 20120831 AA -0.001166 -0.01635 4 3
;
run;

Normally, if the event date fall in (2,5), that's fine because the +1 day I want to use to calculate the abnormal return will be the following day (3,6 respectively). However, if the event day falls in wday=6 (Friday), I need to calculate the abnormal return on Monday (skip Sat, Sunday, and in this case, it even skipped Monday (2012/09/03-the labor day of 2012) because it is not a trading day). Moreover, in this file the variable before = 4 while I need to make the variable "before" = 1 for later calculation.

So my questions are:

How can I make a program that automatically recognizes the following trading day (not weekend or holidays) as a "+1" day of the event and sets the "before" variable =1?

Is that likely that I can create a code and assign "if EventDate = Date = Friday, then retain & write the next row (which record data for a trading day) to output table & set the variable "before" of that row = 1"?

Thank you!

Re: Eventstudy: Can I use conditioning like: if row 1 satisfies a criteria, use row 2 for calculatio

mkeintz — Sun, 23 Dec 2018 01:24:45 GMT

Lucy:

As per my response to your other posting, do you have a daily price file. If so, please show us what it looks like, and we can show how to make a trading-day calendar.

topic Re: Eventstudy: Can I use conditioning like: if row 1 satisfies a criteria, use row 2 for calculatio in SAS Programming

Eventstudy: Can I use conditioning like: if row 1 satisfies a criteria, use row 2 for calculation?

Re: Eventstudy: Can I use conditioning like: if row 1 satisfies a criteria, use row 2 for calculatio