03-27-2015 04:40 AM
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.
03-27-2015 08:13 AM
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?