Currently I have multiple years' data for multiple firms of the monthly stock returns.
Firm_ID | year | month | return |
---|---|---|---|
101 | 2002 | 1 | 0.05 |
... | |||
101 | 2014 | 12 | 0.03 |
102 | 2003 | 1 | 0.035 |
... | |||
102 | 2007 | 12 | 0.045 |
..... | |||
205 | 2004 | 1 | 0.065 |
... |
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?
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
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
Thanks. It works!
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