Dear all,
I have monthly stock observations sorted according to the unique ID number for all US stocks and I need to merge the data file with the corresponding Fama French factors (having daily observations).
How can I achieve that in the new dataset to each monthly observation there is a factor observations matched?
The data looks like this:
Fama French:
date SML HML
19910102 a d
19910103 b f
19910104 c h
...
19910201 x z
Stocks:
permno date price
1001 19910102 1
1001 19910201 2
1002 19910102 3
...
Merged:
permno date price SML HML
1001 19910102 1 a d
1001 19910201 2 x z
1002 19910102 3 a d
Thanks in advance
data data1;
input date SML$ HML$;
cards;
19910102 a d
19910103 b f
19910104 c h
;
data data2;
input permno date price;
cards;
1001 19910102 1
1001 19910201 2
1002 19910102 3
;
proc sort data=data1;
by date;
run;
proc sort data=data2;
by date;
run;
data data3;
merge data1(in=a) data2(in=b);
by date;
if b;
run;
thanks,
jagadish
Thank you so much, Jagadish!
Don't miss out on SAS Innovate - Register now for the FREE Livestream!
Can't make it to Vegas? No problem! Watch our general sessions LIVE or on-demand starting April 17th. Hear from SAS execs, best-selling author Adam Grant, Hot Ones host Sean Evans, top tech journalist Kara Swisher, AI expert Cassie Kozyrkov, and the mind-blowing dance crew iLuminate! Plus, get access to over 20 breakout sessions.
Learn the difference between classical and Bayesian statistical approaches and see a few PROC examples to perform Bayesian analysis in this video.
Find more tutorials on the SAS Users YouTube channel.