Calculating mean weekly return for each company per year

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Calculating mean weekly return for each company per year

Hi there,

 

I have weekly return data for each company, I would like to write a SAS code that can take the mean of the weekly returns for each company in the dataset. 

 

My data looks like:

 

DATE                              COMPANY                                       RETURN

5/2/2014                         A                                                       0.01

12/2/2014                       A                                                       -0.05

19/2/2014                       A                                                       0.02

.......                               

5/2/2014                         B                                                        0.02

12/2/2014                       B                                                        0.01

19/2/2014                       B                                                        -0.01

.........

 

 

After deducing the mean, I would also like to deduce standard deviation of returns for each company and seeing if any of the returns for each company are < 3.09 standard deviations in which case I would like insert a CRASH dummy variable of "1" for that company during that year, otherwise "0" .

 

Any help or ideas will be greatly appreciated.

 

Thanks.

Super User
Posts: 18,997

Re: Calculating mean weekly return for each company per year

What's a week to you?

 

proc means data=have nway mean std stackods;
class stock date;
format date weeku.;
var return;
ods output summary=want;
run;

proc print data=want;
run;
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