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3-month market adjusted returns.

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Contributor
Posts: 20

3-month market adjusted returns.

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.

Super User
Posts: 24,004

Re: 3-month market adjusted returns.

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. 

PROC Star
Posts: 1,400

Re: 3-month market adjusted returns.

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

Contributor
Posts: 20

Re: 3-month market adjusted returns.

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.

 

 

 

Super User
Posts: 24,004

Re: 3-month market adjusted returns.

[ Edited ]

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

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

Respected Advisor
Posts: 4,795

Re: 3-month market adjusted returns.

@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).

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