topic Cumulative returns from Event Study output in SAS Programming

Cumulative returns from Event Study output

Tango_Mike — Sun, 13 Oct 2019 22:13:24 GMT

Hello,

This is probably a very novice question. I've tried several methods I've found by reading previous threads but none has worked so far.

I have a dataset of abnormal returns from -10 days to +10 days around an event study (dataset named firm_level_results). These 135 companies are organized by PERMNO. I am trying to create an output table with cumulative results for each company in five different trading day windows (-1 to 0; 1- to 1; 0 to 1; 0 to 2; 0 to 5). Here is a screenshot of the dataset, EVTTIME is the trading day reference to the event date; ABRET is each day's abnormal return.

/* I have previous code steps SQL combining several tables for regression controls*/

/*Calculate CARs for each company for each trading window*/

data temp.car_windows; set temp.car_windows; /* Create CAR results table */
run;

data temp.firm_level_results; set temp.firm_level_results; /* Source event data */

data want;
set temp.firm_level_results;
where evttime => -1 and evttime <= 0; /* First trading window wanted */

run;

I realize this code is clunky, I was trying to figure out the first step before expanding into summing the results, etc.

Thanks for whatever help someone can provide

Re: Cumulative returns from Event Study output

mkeintz — Mon, 14 Oct 2019 00:04:51 GMT

Editted note: Mistake! Mistake! Mistake! The CAR's starting in event date zero should be this:

  car_0_1  = (1+daily_car{1})/(1+daily_car{-1})-1;   * for (0,1);
  car_0_2  = (1+daily_car{2})/(1+daily_car{-1})-1;   * for (0,2);
  car_0_5  = (1+daily_car{5})/(1+daily_car{-1})-1;   * for (0,5);

The specified CAR's should, I believe be calculated like this:\

So do you want 1 record per event with identifiers and 5 cumulative return variables corresponding to the five event-related periods you identify?

If so, assuming your data are sorted by permno/evtdate/evttime, then you can do something like this:

data selected_cum_ar (drop=abret date ret);
  set have;
  by permno evtdate;
  where evttime between -1 and 5;
  array daily_car {-1:5} _temporary_;
  if first.evtdate then do;
    call missing (of daily_car{*});
    daily_car{evttime}=abret;
  end;
  else daily_car{evttime}= (1+daily_car(evttime-1))*(1+abret)-1;
  if last.evtdate;
  car_m1_0 = daily_car{0};  * for (-1,0);
  car_m1_1 = daily_car{1};  * for (-1,1);
  car_0_1  = daily_car{1}/daily_car{-1};   * for (0,1);
  car_0_2  = daily_car{2}/daily_car{-1};   * for (0,2);
  car_0_5  = daily_car{5}/daily_car{-1};   * for (0,5);
run;

The WHERE filter only keeps trading day -1 through +5;
The array "daily_car" will hold cumulative abnormal returns for -1, 0, 1, 2, ... through +5. As a _temporary_ array it (a) won't be written to the output dataset, and (b) will not have values automatically reset to missing - a handy feature for building today's CAR using today's abret and the preceding CAR.
The BY statement tells sas to expect the data in HAVE to be sorted, and provides automatic dummy variables letting you know if the record-in-hand is the beginning (or ending) of a set of records for a given permno/evtdate.
The "if last.evtdate" is a filter, allowing the subsequent production of your desired CARs only when the group of records is exhausted.

Re: Cumulative returns from Event Study output

Tango_Mike — Sun, 13 Oct 2019 23:58:54 GMT

That is excellent, thank you very much for the code and the explanation