topic Re: 3-month market adjusted returns. in SAS Programming

3-month market adjusted returns.

nzrdufiu — Sat, 02 Sep 2017 19:26:24 GMT

I want to calculate three-month market adjusted value weighted return exclusive of dividends corresponding to the fiscal quarter.
I want to calculate this variable from CRSP. I was googled but did not find any SAS codes.

I look forward to hearing from experts.

Thank you.

Re: 3-month market adjusted returns.

Reeza — Sat, 02 Sep 2017 20:05:30 GMT

Your question is very, very topic specific. This means you need to wait for a finance person who understand exactly what the terms you're referring to mean and what you're trying to calculate.

If you generalize the question, explain it in detail, show sample data and explain the calculation you're likely to get a faster response as the number of people who can answer it increases significantly.

Re: 3-month market adjusted returns.

PeterClemmensen — Sat, 02 Sep 2017 20:08:39 GMT

Show some sample data and what your desired result looks like to get a code answer 🙂

Re: 3-month market adjusted returns.

nzrdufiu — Sat, 02 Sep 2017 22:15:34 GMT

Thank you Rfor your quick reply.

I have the following data:

Year Month return Company

2000 1 10 A

2000 2 12 A

2000 3 14 A

. . .

2000 12 16 A

. 1 10 B

. 2 15 B

I need to calculate 3-month market adjusted returns.

Thanks.

Re: 3-month market adjusted returns.

Reeza — Sun, 03 Sep 2017 00:54:56 GMT

Look at PROC EXPAND.,it's used to calculate moving statistics.

If you want more help you need to provide more information.

Re: 3-month market adjusted returns.

Patrick — Sun, 03 Sep 2017 01:42:35 GMT

@nzrdufiu

1. Provide have sample data as a fully working SAS data step. Don't expect us to do all the work for you.

2. Provide/show us how the desired result should look like

3. Explain us the logic how you need to get from the Have data to the desired output. Try to explain the required logic in non-finance terms and as detailed as possible as this will allow much more people to understand your problem (=faster and likely "better" answers).