topic Merging monthly stock data with daily factor data in SAS Procedures

Merging monthly stock data with daily factor data

stella_24 — Tue, 12 Nov 2013 14:17:09 GMT

Dear all,

I have monthly stock observations sorted according to the unique ID number for all US stocks and I need to merge the data file with the corresponding Fama French factors (having daily observations).

How can I achieve that in the new dataset to each monthly observation there is a factor observations matched?

The data looks like this:

Fama French:

date SML HML

19910102 a d

19910103 b f

19910104 c h

...

19910201 x z

Stocks:

permno date price

1001 19910102 1

1001 19910201 2

1002 19910102 3

...

Merged:

permno date price SML HML

1001 19910102 1 a d

1001 19910201 2 x z

1002 19910102 3 a d

Thanks in advance

Re: Merging monthly stock data with daily factor data

Jagadishkatam — Tue, 12 Nov 2013 14:33:55 GMT

data data1;

input date SML$ HML$;

cards;

19910102 a d

19910103 b f

19910104 c h

;

data data2;

input permno date price;

cards;

1001 19910102 1

1001 19910201 2

1002 19910102 3

;

proc sort data=data1;

by date;

run;

proc sort data=data2;

by date;

run;

data data3;

merge data1(in=a) data2(in=b);

by date;

if b;

run;

thanks,

jagadish

Re: Merging monthly stock data with daily factor data

stella_24 — Fri, 15 Nov 2013 09:04:39 GMT

Thank you so much, Jagadish!