topic Re: Creating monthly stock sample in SAS Programming

Creating monthly stock sample

Lukito — Fri, 15 May 2020 10:31:40 GMT

Hi,

I have two datasets. One has only yearly observations for month 7. Another one has monthly frequency for each year year.

I need to rearrange this code for the dataset where with monthly observations and find a monthly holding period of 30 days. My monthly dataset starts in january 1926 and ends in march 2012.

This is the code for the dataset for annual observations

/*I'm creating two variables. These are date variables.
one will store July 1st of the same year
one will store 30/ of next year
this is the holding period.
This is useful because I only need to get from CRSP the return for this period*/

data sample_stocks;
set sample5;
Beginning_date=mdy(07,01,year);
End_date=mdy(06,30,year+1);
format End_date date9.;
format Beginning_date date9.;
drop Mkcap sum_Mkcap number_stocks;
run;

Do you have any tips to modify this code?

Re: Creating monthly stock sample

PGStats — Fri, 15 May 2020 20:02:05 GMT

Please provide a small meaningful sample of both input datasets and of the corresponding expected output data table.

Re: Creating monthly stock sample

Lukito — Fri, 15 May 2020 22:28:09 GMT

This is a sample of my input table:

Input DataSet

This is what i would like have in output:

Output DataSet

The Beginning_year should be equal to my date, because it represent the start point of the my Holding period.

The End_Date should be equal to the last day of the next month (ex. in the first row should be equal to 28FEB1926), because my holding period is one month.

I hope this suggestions, will be clear.

Thanks for your help.

Re: Creating monthly stock sample

PGStats — Sat, 16 May 2020 03:46:39 GMT

If all you want is the end date from the next month:

end_date = intnx("month", date, 1, "end");