MOMENTUM OF A STOCK

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Contributor
Posts: 24

MOMENTUM OF A STOCK

I have around 1000 stocks in my dataset for a period of 2000-2013. I would like to compute the MOMENTUM of the stock where;

"MOM at time t is the stock's 11-month past return lagged one month" How can i do this in Sas? Thanks in advance. yo can use this sample file. Considering i panel data.


31/03/1995S:MPCJ0.5
28/04/1995S:MPCJ0.5
31/05/1995S:MPCJ0.52
30/06/1995S:MPCJ0.49
31/07/1995S:MPCJ0.49
31/08/1995S:MPCJ0.59
29/09/1995S:MPCJ0.55
31/03/1995S:MPCJ0.55
28/04/1995S:MPCJ0.54
31/05/1995S:MPCJ0.53
30/06/1995S:MPCJ0.52
31/07/1995S:MPCJ0.51
31/08/1995S:MPCJ0.52
29/09/1995S:MPCJ0.52
Esteemed Advisor
Posts: 5,198

Re: MOMENTUM OF A STOCK

If if I kinda understand what you want, please attach some desired output (based on your input data sample), to avoid misunderstandings.

Data never sleeps
Respected Advisor
Posts: 4,992

Re: MOMENTUM OF A STOCK

In particular, there are many ways to compound when calculating return.  What do you mean by an 11-month return?

More related questions:  what are the names of your variables?  Have you licensed just the base SAS software, or do you have other add-on products to work with?

Contributor
Posts: 24

Re: MOMENTUM OF A STOCK

Hi there, i have attached a sample file with raw data. All i need is moment in stock price

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