02-08-2015 08:08 PM
I'm working on Fama French 92 paper (The cross-section of expected stock returns). Now I need to calculate the pre-ranking beta for all individual stocks. My regression starts from 1962/1/1 to 1990/12/31.
The pre-ranking betas are estimated on 24 to 60 monthly returns (as available) in the 5 years before July of year t. It means, if in 1980, one stock has only 24 monthly returns before July of 1980, we use these 24 monthly returns to calculate the beta. If in 1980 this stock has 25 monthly returns before July of 1980, we use these 25 monthly returns to calculate the beta. etc. The returns we use no more than 60 months. And if the stock has less than 24 monthly returns, we omit this stock in 1980.
So May I ask how to program this using SAS?