topic Re: sorting Securities in SAS Procedures

sorting Securities

sasphd — Fri, 06 Dec 2019 19:37:07 GMT

Can you help me to program this step:

For each month t from July of year y-1 to June of year y, we rank the stocks based their return between t-12 and t-2

suppose that I have the historical monthly return of each secrutities such that

GVKEY date mret

1 20050630 0.12

...

1 20071130 0.23

...

Re: sorting Securities

tomrvincent — Fri, 06 Dec 2019 20:16:04 GMT

So some records have no date or mret? And GVKEY is the stock key...or...?

Re: sorting Securities

sasphd — Mon, 09 Dec 2019 14:48:33 GMT

I gave only an example of data

Re: sorting Securities

tomrvincent — Mon, 09 Dec 2019 15:02:00 GMT

without any example of what output you want.

Re: sorting Securities

sasphd — Mon, 09 Dec 2019 15:11:24 GMT

this is an example of input. I need your help to do understand

GVKEY	date	mret
1	200506	0.012
1	200507	0.0554
1	200508	0.0086
1	200509	0.0235
1	200510	0.0384
1	200511	0.0533
1	200512	0.0682
1	200601	0.0831
1	200602	0.098
1	200603	0.1129
1	200604	0.1278
1	200605	0.1427
1	200606	0.1576
1	200607	0.1725
1	200608	0.1874
1	200609	0.2023
2	200806	0.0856
2	200807	0.0563
2	200808	0.1505
2	200809	0.1545
2	200810	0.1585
2	200811	0.1625
2	200812	0.1665
2	200901	0.1705
2	200902	0.1745
2	200903	0.1785
2	200904	0.1825
2	200905	0.1865
2	200906	0.1905
2	200907	0.1945
2	200908	0.1985
2	200909	0.2025
2	200910	0.2065
2	200911	0.2105
2	200912	0.2145

Re: sorting Securities

tomrvincent — Mon, 09 Dec 2019 15:16:25 GMT

again, no example of what output you want.

Re: sorting Securities

sasphd — Mon, 09 Dec 2019 15:20:32 GMT

I did not understand this sentence to be able to design my output.

For each month t from July of year y-1 to June of year y, we rank the stocks based their return between t-12 and t-2

Re: sorting Securities

tomrvincent — Mon, 09 Dec 2019 17:24:00 GMT

So something like this?

1 200508 1 0.0086
1 200509 2 0.0235
1 200510 3 0.0384
1 200511 4 0.0533
1 200507 5 0.0554
1 200512 6 0.0682
1 200601 7 0.0831
1 200602 8 0.098
1 200603 9 0.1129
1 200604 10 0.1278
1 200605 11 0.1427
1 200606 12 0.1576

Re: sorting Securities

tomrvincent — Mon, 09 Dec 2019 17:39:08 GMT

Another attempt:

Because you're missing all of 2007 I looked at 200606 because it has the needed records, from what I can tell.

So for GVKEY 1, 200606 should sum mref for months 200506 - 200604, resulting in 0.6812, correct?