10-18-2017 09:27 AM
I have a data set containing daily stock prices and I would want to calculate the annual abnormal stock returns. To get the annual abnormal stock returns, I need to subtract the annual average stock returns from the returns of the individual stocks. My data looks like this:
GVKEY DATADATE AJEXDI PRCCD TRFD
002721 19901227 1.0377 0.3000 1.2415953
stock return=(((((PRCCD/AJEXDI)*TRFD)/((PRCCD(PRIOR)/AJEXDI(PRIOR))*TRFD(PRIOR))) -1 )* 100).
I would be very grateful if someone could help me the code.
10-18-2017 10:23 AM
Is this not covered in one of the 600 posts returned by a search: