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04-03-2011 05:06 AM

Hi,

Can help me with SAS code to calculate stock return using buy-and-hold abnormal return using the follwoing formula:

T T

BHARi=∏(1+Ri,t) - ∏ (1+Rbenchmark,t)

t=1 t=1

Where R i,t is the monthly return for firm i in month t, and R benchmark, t is the monthly

return for the benchmark in month t.

Firm i is the firm which I need to calculate stock return

The benchmark in my case is the matched firm similar to firm i in the size.

Also the code should include the following restriction:

If the matched firm delisted before calculating the return for firm i, then the next best match should be substituted for the next period.

Many thanks Message was edited by: q1234

Can help me with SAS code to calculate stock return using buy-and-hold abnormal return using the follwoing formula:

T T

BHARi=∏(1+Ri,t) - ∏ (1+Rbenchmark,t)

t=1 t=1

Where R i,t is the monthly return for firm i in month t, and R benchmark, t is the monthly

return for the benchmark in month t.

Firm i is the firm which I need to calculate stock return

The benchmark in my case is the matched firm similar to firm i in the size.

Also the code should include the following restriction:

If the matched firm delisted before calculating the return for firm i, then the next best match should be substituted for the next period.

Many thanks Message was edited by: q1234

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04-03-2011 09:52 AM

In what structure are your data?

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04-03-2011 10:49 AM

I have around 700 firms and for each one of them I will calculate the return from a specific date, let us call it the the event year.

so I have the following structure ( the firms, the eventyear, the monthly stock pric for three years after the event year)

Ex;

Portfolio 1(the event firms)

firms event date closing stock prices Jan1999 feb1999.............Dec2001

i 01/01/999 .2 .35 .45

Portfolio 2(the matched firms)

firms date closing stock prices Jan1999 feb1999.............Dec2001

x 01/01/999 .3 .18 .63

Thanx

so I have the following structure ( the firms, the eventyear, the monthly stock pric for three years after the event year)

Ex;

Portfolio 1(the event firms)

firms event date closing stock prices Jan1999 feb1999.............Dec2001

i 01/01/999 .2 .35 .45

Portfolio 2(the matched firms)

firms date closing stock prices Jan1999 feb1999.............Dec2001

x 01/01/999 .3 .18 .63

Thanx

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04-06-2011 06:33 AM

Can you explain the formula ,∏ is to mean cumulative multiply?

And What output looks like?

Ksharp

And What output looks like?

Ksharp

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12-15-2014 03:54 AM

Yes, ∏ is to mean cumulative multiply

I think the equation might be as followed,

ret=(exp(lret))-1;

benchret=(exp(lbenchret))-1;

bhar=(ret-benchret)*100;

but I don't know how to use the loop to get the buy-and-hold abnormal return on 12 , 24, and 36 months separately.

Thank for your help!