Calculating mean weekly return for each company per year

Francesco1 — Tue, 12 Apr 2016 02:04:25 GMT

Hi there,

I have weekly return data for each company, I would like to write a SAS code that can take the mean of the weekly returns for each company in the dataset.

My data looks like:

DATE COMPANY RETURN

5/2/2014 A 0.01

12/2/2014 A -0.05

19/2/2014 A 0.02

.......

5/2/2014 B 0.02

12/2/2014 B 0.01

19/2/2014 B -0.01

.........

After deducing the mean, I would also like to deduce standard deviation of returns for each company and seeing if any of the returns for each company are < 3.09 standard deviations in which case I would like insert a CRASH dummy variable of "1" for that company during that year, otherwise "0" .

Any help or ideas will be greatly appreciated.

Thanks.

Re: Calculating mean weekly return for each company per year

Reeza — Tue, 12 Apr 2016 02:08:15 GMT

What's a week to you?

proc means data=have nway mean std stackods;
class stock date;
format date weeku.;
var return;
ods output summary=want;
run;

proc print data=want;
run;

topic Re: Calculating mean weekly return for each company per year in SAS Programming

Calculating mean weekly return for each company per year

Re: Calculating mean weekly return for each company per year