topic Re: How to construct monthly rebalanced/overlapping dataset in SAS Programming

How to construct monthly rebalanced/overlapping dataset

ZZB — Wed, 05 Mar 2014 03:24:12 GMT

Hi all,

I'm replicating JT's (2001, JF) 'momentum' strategy and meet a problem about how to exclude stocks with price less than 5. Because this strategy is monthly rebalaced, the problem seems much more complicated than that if portfolio is nonoverlapping. I attached the paper (See P702-703)

There are N stocks in a dataset. For example, stock A's price is 6 at time t, 4 at t+1, 5.5 at t+2, 4.8 at t+3 ...

Time Stock Price Return

1985/01 A 6 given

1985/02 A 4

1985/03 A 5.5

1985/04 A 4.8

1985/01 B 6.2

1985/02 B 5.1

1985/03 B 4.8

1985/04 B 6

1985/01 C 23

1985/02 C 19

1985/03 C 20

1985/04 C 22

........

I know how to calculate the avearge monthly returns rebalanced monthly if no more condition is required. However, now we want to exclude all stocks priced below $5 at the begining of holding period (e.g., when the begining of the holding period is 1985/01, stock A,B,C's prices are above 5, so they are included in portfolio; for 1985/02, only stock B and C are in portfolio, for 1985/03, A and C, and so on). If the holding period is 3 months, for 1985/04, the rebalanced average monthly return is 1/3(1985/04-02)+1/3(1985/03-1985/01)+1/3(1985/02-1984/12).

If we just use codes 'if price<=5 then delete' at the begining, the result is different from JT(2001), though I got the similar result when I replicate JT (1993) without such price condition. How to construct such monthly rebalanced dataset if condition about price is added?

Thanks

Re: How to construct monthly rebalanced/overlapping dataset

TarunKumar — Wed, 05 Mar 2014 07:20:49 GMT

data test;

input Time:$7. Stock:$1. Price ;

datalines;

1985/01 A 6

1985/02 A 4

1985/03 A 5.5

1985/04 A 4.8

1985/01 B 6.2

1985/02 B 5.1

1985/03 B 4.8

1985/04 B 6

1985/01 C 23

1985/02 C 19

1985/03 C 20

1985/04 C 22

;

run;

proc sql;

create table want as

select * from test

where stock not in (select distinct stock from test

where price <= 5);

quit;

Re: How to construct monthly rebalanced/overlapping dataset

trest_luam — Fri, 14 Apr 2017 00:03:07 GMT

Hello ZZB;
Have you ever solved this problem?
I am facing the same issue. Could you help? please?
Thanks