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amanda_cz
Calcite | Level 5

Currently I have multiple years' data for multiple firms of the monthly stock returns.

Firm_IDyearmonthreturn
101200210.05
...
1012014120.03
102200310.035
...
1022007120.045
.....
205200410.065
...

If I calculate it by hand then:

annual compounding return=(1+ Ret_month1)*(1+Ret_month2)*(1+Ret_month3)*...*(1+Ret_month11)*(1+Ret_month12)

However, I don't know how to write a sas program to do this  Any suggestions?

1 ACCEPTED SOLUTION

Accepted Solutions
Haikuo
Onyx | Level 15

Not tested:

data want;

     do until (last.year);

           set have;

           by firm_id year;

           if first.year then

                compound_ret=1;

           compound_ret=compound_ret*(1+return);

     end;

run;


Haikuo

View solution in original post

2 REPLIES 2
Haikuo
Onyx | Level 15

Not tested:

data want;

     do until (last.year);

           set have;

           by firm_id year;

           if first.year then

                compound_ret=1;

           compound_ret=compound_ret*(1+return);

     end;

run;


Haikuo

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