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Hi,
I want to keep stocks with very high negative beta values also in the respective deciles. The intuition is that both negative and low positive betas are good for portfolio mean-variance.
Thanks
Regards
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Hi,
1. You want to generate CAPM (capital asset pricing model, i.e. MODEL retx=sprtrn) beta estimates using CRSP monthly data for your sample for a subperiod, then use the beta estimates to form decile portfolios.
Ans: Exactly, but my overall objective is Fama-Macbeth.
Then you want rolling 60 month PORTFOLIO returns, meaning that after the regresssion, you also will need a data step or proc to compound monthly returns of each portfolio component. (I presume there is no reweighting within portfolios over the 60 month window).
Ans: You are right, there is no reweighting within portfolios over the 60 month window.
It's time to start a new question. Don't move the goal posts within a topic.
Ans: I have posted a new question. Thanks for this.
Regards
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- You only want companies with data for the complete range, right?
- Show us some sample date, including date variable(s), company id vars, and record order.
The hash OUTPUT method will overwrite a SAS data set, but not append. That can be costly. Consider voting for Add a HASH object method which would append a hash object to an existing SAS data set
Would enabling PROC SORT to simultaneously output multiple datasets be useful? Then vote for
Allow PROC SORT to output multiple datasets
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Hi,
Thanks for your reply,
This is a sample of my data.
1. You only want companies with data for the complete range, right?
Yes, I want companies' data for complete range specified earlier.
Regards
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Sorry,
file is here
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