Hi
I am new here.
I need to calculate Amihud's illiquidity and so far the result seems to be the opposite of what it should be. Returns are increasing with more liquidity instead of with less.
That's the code I am using. Any idea why I am failing?
data illiquid;
set DailyCRSPData;
ratio=1000000*abs(ret)/(abs(prc)*vol);
year=year(date);
month=month(date);
where vol > 10 and ret ne . and ret ne 0 and prc > 5;
run;
proc sort data=illiquid; by permno year month; run;
proc means data=illiquid noprint;
var ratio ret;
by permno year month;
output out=illiquid1 mean=illi ret1;
run;
proc corr data = illiquid1;
var ret1 illi;
quit;
Thank you so much
Duncan
Did you ever figure out the Amihud measure? Is it just absolute values in the denominator?
Thanks,
Zach
Join us for SAS Innovate April 16-19 at the Aria in Las Vegas. Bring the team and save big with our group pricing for a limited time only.
Pre-conference courses and tutorials are filling up fast and are always a sellout. Register today to reserve your seat.
Learn how use the CAT functions in SAS to join values from multiple variables into a single value.
Find more tutorials on the SAS Users YouTube channel.