topic Re: How can I get a month or year return starting at a certain date? in SAS Programming

How can I get a month or year return starting at a certain date?

JKCho — Sat, 13 Jul 2019 21:36:56 GMT

HI!!!

I found a very close answer here:

https://wrds-www.wharton.upenn.edu/pages/support/applications/event-studies/event-study-research-application/

But still... I wonder how can I get a monthly return from a specific date.

e.g. from July 13th to Aug 13.

If either or both dates are nontrading days, then select the next trading days. Since I have to have a month interval, the code used in the link that can only sets intervals instead of a certain period of time(like month and year) is not the right one.

I wonder how other CRSP users can get stock returns too.

If you use CRSP and know how to get month-long returns please share your knowledge.

Thank you,

Re: How can I get a month or year return starting at a certain date?

Astounding — Sat, 13 Jul 2019 22:35:40 GMT

Just to confirm then ...

For a starting date of Jan 28, 29, 30, or 31, the ending date will be Feb 28?

Re: How can I get a month or year return starting at a certain date?

JKCho — Sun, 14 Jul 2019 03:15:40 GMT

February can be either ending in 28th or 29th depending on the data. Still wondering I can make this kind of code. My intention is simple.

I want to know return a month later. But it is depending on the data(trading days) whether the date a month later is a trading day or not. If not, the date will be the next trading day.

Re: How can I get a month or year return starting at a certain date?

JKCho — Sun, 14 Jul 2019 03:48:36 GMT

I rather write another post so that you may understand better what I want to do. Thx though

Re: How can I get a month or year return starting at a certain date?

ballardw — Mon, 15 Jul 2019 22:20:22 GMT

The first part will be starting with actual SAS date values. Do you have that yet?

I think that you want the INTNX function with the 'Same' option.

data example;
   do date='25Jan2020'd to '31JAN2020'd;
      newdate = intnx('month',date,1,'S');
      output;
   end;
   format date newdate date9.;
run;

I used dates from 2020 as it is a leap year. 29, 30 and 31 Jan all get advanced to 29 Feb.

If you use 2019 then 28, 29, 30 and 31 Jan all get advanced to 28 Feb.

Re: How can I get a month or year return starting at a certain date?

JKCho — Tue, 16 Jul 2019 00:36:58 GMT

Awwwwwwwwwwwwwwwwwwesome!
That is what I want!!
THX X 10000000000!!!!