09-02-2017 03:26 PM
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.
09-02-2017 04:05 PM
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.
09-02-2017 06:15 PM
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.
09-02-2017 08:54 PM - edited 09-02-2017 08:54 PM
Look at PROC EXPAND.,it's used to calculate moving statistics.
If you want more help you need to provide more information.
09-02-2017 09:42 PM
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).