topic Re: Adapting SAS code for a new data set. Rama French Industry portfolios in SAS Programming

Adapting SAS code for a new data set. Rama French Industry portfolios

Zarinasa2003 — Fri, 08 Mar 2019 19:29:33 GMT

Thank you for reading my question. I am brand new! I only started learning SAS today and even worse I have a tight deadline.

I have some code that replicates Kenneth French’s industry portfolios!

My problem is I need this adapting so that it can be run with a different dataset.

I have data in excel:

DATE: INDUSTRY: COMPANY NAME: RETURN: MARKET CAP

Likewise to the above data I would like value weighted returns that are rebalanced every June.

I think this isn’t such as difficult task but the problem I am having is that I am very new to SAS so any advice on how I could do this would be appreciated.

Here is the link to the SAS code that I believe does this already. By problem is that I have different data in the above format.

https://wrds-www.wharton.upenn.edu/pages/support/research-wrds/research-guides/procedures-using-fama-and-french-48-industry-classification/

Re: Adapting SAS code for a new data set. Rama French Industry portfolios

Reeza — Fri, 08 Mar 2019 20:46:39 GMT

Do you have access to WRDS? In this situation, the best method to get it working as fast as possible is to work with the demo and ensure you can get that working and understand it.

Then, rather than modify the code, modify your input data set to match the input data set for the example by restructuring and renaming as necessary and then using that code.

@Zarinasa2003 wrote:

Thank you for reading my question. I am brand new! I only started learning SAS today and even worse I have a tight deadline.
I have some code that replicates Kenneth French’s industry portfolios!

My problem is I need this adapting so that it can be run with a different dataset.

I have data in excel:
DATE: INDUSTRY: COMPANY NAME: RETURN: MARKET CAP
Likewise to the above data I would like value weighted returns that are rebalanced every June.

I think this isn’t such as difficult task but the problem I am having is that I am very new to SAS so any advice on how I could do this would be appreciated.

Here is the link to the SAS code that I believe does this already. By problem is that I have different data in the above format.

https://wrds-www.wharton.upenn.edu/pages/support/research-wrds/research-guides/procedures-using-fama-and-french-48-industry-classification/

Re: Adapting SAS code for a new data set. Rama French Industry portfolios

Zarinasa2003 — Fri, 08 Mar 2019 20:50:04 GMT

Thanks,

Yes I see what you’re saying but I unforentuatley do not have WRDS.

Best wishes

Zarina

Re: Adapting SAS code for a new data set. Rama French Industry portfolios

Reeza — Fri, 08 Mar 2019 20:55:54 GMT

Then you don't know how the input data set is formatted (and neither do we) so I don't think this approach will work for you.

If you can provide the full logic with a small input data set and expected output someone may be able to help you with the code, but it will need to be a fully worked example to get it going. You can also search on LexJansen.com to see if there's other code examples there that may work for you. Good Luck.