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ncross
Calcite | Level 5

Hi looking for assistance in risk and standard deviation style calcs. email me privately if you can help

12 REPLIES 12
ncross
Calcite | Level 5
18550.48195012
18569127289.25195012
18585127216.125195012
18622221620.75195012
1860665217.75195012
18657.3.75195012
187102216-9.5625195012
187451232-14.875195012
18702.86.5195012
18761127265.5195012
18841.18.75195012
18876.8.25195012
18884.33.25195012
18948121217.375195012
18905.34.25195012
18956121210.875195012
18964.8.625195012
18980121287195012
190001272-11.0625195012
1897212728.625195012
1904312329.125195012
19094.19.375195012
19107.17.375195012
19051.19.125195012
19211.-18.6875195012
19238121234.75195012
19203.95.5195012
19254.20.625195012
19262121218.375195012
19270.26.25195012
19342.32.75195012
19297.12.375195012
19369127225.375195012
19326.52.75195012
19385.37.875195012
19350.57195012
19422.-33.75195012
19430.24.375195012
19502123253.5195012
19449.8.625195012

permno        distcd       price          monthdate

Haikuo
Onyx | Level 15

Hi,

Even though all of your tasks can be done using just data step, it would be a lot easier if you have SAS/ETS, to be specific, the proc expand, so the following response is based on using proc expand.

First, you probably need to sort your data by permno and monthdate.

A1, Using 'dif' and 'ratio' conversion operator.

A2, Using 'MOVSTD' operator.

A3, Using 'MOVSTD' plus 'reverse' operator.

A4, again, using 'dif' operator plus data step to create the new variable conditionally.

Some of the above steps can be done in the same proc expand, while some needs separated steps, check SAS online doc, you will find it easier than you thought.

I hope this get you to start, if not or you don't have ETS, then please provide more raw data for us to work on. The current one only has one date.

Good Luck,

Haikuo

update: using this to check whether you have ETS or not:

proc setinit;run;

ncross
Calcite | Level 5

Hi unfortunately I do not have ETS on SAS. If possible could you please elaborate on the data step commands? I am worried this might be too complicated for SAS

Also I did some thinking and daily stock prices are a better reflection of stock price volatility so you’ll notice that the data has changed but only slightly. Please see below as I have copied in larger amounts of data.

Only the following steps have changed:

***I am attempting to calculate returns from DAILY stock prices for each company (identified by permn number). Using the formula:  (t – (t-1))/t-1.  For example, if ‘t’ is the share price for permn 10049 in 19950202 then ‘t-1’ is the share price for permn 10049 in 19950201.

***Calculate the single standard deviation of prior DAILY returns for the same permn (two years before) from each event t=0.

***Calculate the single standard deviation of proceeding DAILY returns for the same permn (two years after) from each event t=0.

YEARMONTHDATEDATEPERMNODISTCDDIVAMTPRC
192619260119260104100141.875
192619260119260105100141.75
192619260119260106100141.75
19261926011926010710014-1.8125
192619260119260108100141.75
19261926011926010910014-1.6875
192619260119260111100141.625
19261926011926011210014
192619260119260113100141.75
192619260119260114100141.625
19261926011926011510014-1.75
192619260119260116100141.625
192619260119260118100141.75
192619260119260119100141.875
19261926011926012010014-1.8125
192619260119260121100141.875
19261926011926012210014
19261926011926012310014
192619260119260125100141.75
192619260119260126100141.625
192619260119260127100141.625
19261926011926012810014-1.625
19261926011926012910014
19261926011926013010014-1.6875
192619260219260201100141.5
19261926021926020210014-1.625
19261926021926020310014
19261926021926020410014
19261926021926020510014
192619260219260206100141.625
19261926021926020810014-1.625
19261926021926020910014
19261926021926021010014
19261926021926021110014
19261926021926021310014
19261926021926021510014-1.6875
19261926021926021610014-1.5625
192619260219260217100141.75
19261926021926021810014-1.625
19261926021926021910014-1.625
192619260219260220100141.5
19261926021926022310014
19261926021926022410014-1.625
192619260219260225100141.625
19261926021926022610014-1.625
19261926021926022710014
192619260319260301100141.5
192619260319260302100141.625
19261926031926030310014-1.6875
19261926031926030410014-1.6875
19261926031926030510014-1.6875
19261926031926030610014-1.6875
19261926031926030810014-1.6875
19261926031926030910014-1.625
19261926031926031010014-1.625
19261926031926031110014-1.625
19261926031926031210014
19261926031926031310014-1.625
19261926031926031510014
192619260319260316100141.625
19261926031926031710014
192619260319260318100141.625
19261926031926031910014-1.625
19261926031926032010014-1.625
192619260319260322100141.5
192619260319260323100141.5
19261926031926032410014-1.625
192619260319260325100141.5
19261926031926032610014-1.4375
192619260319260327100141.5
192619260319260329100141.5
192619260319260330100141.5
192619260319260331100141.5
192619260419260401100141.625
19261926041926040310014-1.625
192619260419260405100141.625
19261926041926040610014-1.6875
19261926041926040710014-1.6875
19261926041926040810014
19261926041926040910014-1.6875
19261926041926041010014-1.6875
192619260419260412100141.5
19261926041926041310014
192619260419260414100141.5
19261926041926041510014-1.625
192619260419260416100141.5
19261926041926041710014
192619260419260419100141.5
19261926041926042010014-1.625
19261926041926042110014
19261926041926042210014-1.625
19261926041926042310014
19261926041926042410014
19261926041926042610014-1.5625
192619260419260427100141.5
192619260419260428100141.5
192619260419260429100141.5
192619260419260430100141.5
192619260519260501100141.75
19261926051926050310014
19261926051926050410014-1.5625
192619260519260505100141.5
19261926051926050610014
19261926051926050710014-1.5625
19261926051926050810014-1.5625
19261926051926051010014-1.5625
192619260519260511100141.5
19261926051926051210014
19261926051926051310014-1.5625
19261926051926051410014-1.5625
192619260519260515100141.5
192619260519260517100141.5
19261926051926051810014-1.5625
192619260519260519100141.5
192619260519260520100141.5
19261926051926052110014-1.5625
19261926051926052210014
192619260519260524100141.375
19261926051926052510014-1.4375
192619260519260526100141.375
19261926051926052710014-1.4375
19261926051926052810014-1.4375
19261926061926060110014-1.4375
192619260619260602100141.375
19261926061926060310014-1.4375
192619260619260604100141.5
19261926061926060510014
19261926061926060710014-1.4375
19261926061926060810014-1.4375
19261926061926060910014-1.4375
19261926061926061010014-1.3125
192619260619260611100141.375
19261926061926061210014-1.375
19261926061926061410014-1.375
19261926061926061510014-1.375
19261926061926061610014-1.375
19261926061926061710014-1.375
19261926061926061810014-1.375
19261926061926061910014-1.3125
19261926061926062110014-1.3125
19261926061926062210014-1.3125
19261926061926062310014-1.3125
19261926061926062410014
19261926061926062510014-1.3125
19261926061926062610014-1.3125
192619260619260628100141.25
19261926061926062910014
19261926061926063010014
19261926071926070110014
192619260719260702100141.25
192619260719260706100141.25
192619260719260707100141.25
19261926071926070810014
192619260719260709100141.25
19261926071926071010014-1.3125
19261926071926071210014
19261926071926071310014-1.3125
192619260719260714100141.375
192619260719260715100141.25
192619260719260716100141.5
19261926071926071710014-1.375
19261926071926071910014-1.3125
19261926071926072010014-1.3125
19261926071926072110014
192619260719260722100141.375
19261926071926072310014-1.375
19261926071926072410014-1.375
19261926071926072610014-1.3125
19261926071926072710014
19261926071926072810014-1.3125
19261926071926072910014-1.3125
192619260719260730100141.25
19261926071926073110014-1.3125
19261926081926080210014-1.3125
192619260819260803100141.25
192619260819260804100141.25
19261926081926080510014-1.3125
19261926081926080610014
19261926081926080710014-1.3125
19261926081926080910014
19261926081926081010014-1.25
19261926081926081110014-1.25
19261926081926081210014
19261926081926081310014
19261926081926081410014
19261926081926081610014-1.1875
192619260819260817100141.25
19261926081926081810014
192619260819260819100141.125
19261926081926082010014
19261926081926082110014
19261926081926082310014-1.1875
19261926081926082410014
19261926081926082510014
192619260819260826100141.125
19261926081926082710014
192619260819260828100141.125
19261926081926083010014-1.1875
19261926081926083110014-1.1875
19261926091926090110014-1.1875
192619260919260902100141.125
19261926091926090310014-1.125
19261926091926090710014-1.125
19261926091926090810014-1.125
19261926091926090910014-1.0625
19261926091926091010014-1.0625
19261926091926091110014-1.0625
19261926091926091310014
19261926091926091410014-1.0625
19261926091926091510014-1.0625
192619260919260916100141
192619260919260917100141
19261926091926091810014-1.0625
19261926091926092010014
192619260919260921100141
19261926091926092210014-1.0625
192619260919260923100141
19261926091926092410014
19261926091926092510014-1.0625
19261926091926092710014-1.0625
192619260919260928100141.125
19261926091926092910014-1.0625
19261926091926093010014-1.0625
19261926101926100110014-1.0625
19261926101926100210014-1.0625
192619261019261004100141
192619261019261005100141
19261926101926100610014-1.0625
19261926101926100710014-1.0625
192619261019261008100141
19261926101926100910014-1.0625
19261926101926101110014-1.0625
192619261019261013100141
192619261019261014100141
192619261019261015100141
19261926101926101610014-1.0625
19261926101926101810014-1.0625
19261926101926101910014-1.0625
192619261019261020100141
192619261019261021100141
192619261019261022100140.875
19261926101926102310014-0.9375
19261926101926102510014-0.9375
19261926101926102610014-0.9375
192619261019261027100141
19261926101926102810014-0.9375
19261926101926102910014-0.9375
19261926101926103010014-0.9375
19261926111926110110014-0.9375
19261926111926110310014-0.9375
19261926111926110410014-0.9375
19261926111926110510014-0.9375
192619261119261106100141
19261926111926110810014-1.0625
19261926111926110910014-1.0625
192619261119261110100141.125
19261926111926111110014-1.0625
19261926111926111210014-1.25
19261926111926111310014-1.1875
192619261119261115100141.125
192619261119261116100141.375
192619261119261117100141.25
19261926111926111810014-1.4375
19261926111926111910014-1.375
19261926111926112010014-1.375
19261926111926112210014-1.4375
19261926111926112310014-1.4375
19261926111926112410014-1.4375
19261926111926112610014-1.4375
19261926111926112710014
192619261119261129100141.5
19261926111926113010014-1.4375
192619261219261201100141.5
19261926121926120210014-1.4375
192619261219261203100141.375
19261926121926120410014-1.3125
192619261219261206100141.25
192619261219261207100141.25
19261926121926120810014-1.3125
192619261219261209100141.5
192619261219261210100141.375
19261926121926121110014-1.4375
192619261219261213100141.5
192619261219261214100141.625
192619261219261215100141.5
192619261219261216100141.375
19261926121926121710014-1.4375
192619261219261218100141.375
19261926121926122010014-1.4375
192619261219261221100141.375
192619261219261222100141.125
19261926121926122310014
192619261219261224100141.25
19261926121926122710014-1.25
192619261219261228100141.125
192619261219261229100141.25
19261926121926123010014-1.3125
19261926121926123110014-1.3125
19271927011927010310014
19271927011927010410014-1.3125
19271927011927010510014-1.3125
192719270119270106100141.25
19271927011927010710014-1.3125
19271927011927010810014-1.625
192719270119270110100141.25
192719270119270111100141.25
192719270119270112100141.25
192719270119270113100141.375
19271927011927011410014-1.4375
19271927011927011510014-1.4375
19271927011927011710014-1.375
19271927011927011810014-1.375
19271927011927011910014-1.375
192719270119270120100141.5
19271927011927012110014-1.4375
19271927011927012210014-1.375
192719270119270124100141.375
192719270119270125100141.5
19271927011927012610014-1.5625
19271927011927012710014-1.375
192719270119270128100141.5
192719270119270129100141.375
19271927011927013110014
19271927021927020110014
192719270219270202100141.5
192719270219270203100141.5
192719270219270204100141.5
19271927021927020510014-1.5625
192719270219270207100141.5
192719270219270208100141.75
192719270219270209100141.75
19271927021927021010014-1.5625
19271927021927021110014-1.8125
19271927021927021410014-1.8125
19271927021927021510014-1.8125
192719270219270216100141.75
192719270219270217100141.875
192719270219270218100142.125
192719270219270219100142.25
192719270219270221100142
192719270219270223100142.125
19271927021927022410014-2.125
192719270219270225100142
19271927021927022610014-2.125
192719270219270228100142.125
192719270319270301100141.875
19271927031927030210014-1.875
192719270319270303100141.875
192719270319270304100141.75
192719270319270305100141.625
192719270319270307100141.75
192719270319270308100141.75
19271927031927030910014-1.9375
192719270319270310100141.875
19271927031927031110014-1.8125
19271927031927031210014-1.875
19271927031927031410014-1.8125
192719270319270315100141.75
192719270319270316100141.5
192719270319270317100141.5
192719270319270318100141.5
19271927031927031910014-1.5625
192719270319270321100141.625
19271927031927032210014-1.6875
192719270319270323100141.625
192719270319270324100141.875
192719270319270325100141.875
19271927031927032610014-1.8125
192719270319270328100141.625
19271927031927032910014-1.75
192719270319270330100141.625
19271927031927033110014-1.875
19271927041927040110014-1.625
19271927041927040210014-1.625
19271927041927040410014-1.625
19271927041927040510014-1.625
19271927041927040610014
192719270419270407100141.5
192719270419270408100141.5
19271927041927040910014-1.5625
192719270419270411100141.5
192719270419270412100141.5
192719270419270413100141.5
192719270419270414100141.5
19271927041927041610014
192719270419270418100141.5
192719270419270419100141.5
192719270419270420100141.5
19271927041927042110014-1.5625
192719270419270422100141.5
192719270419270423100141.5
19271927041927042510014-1.5625
192719270419270426100141.375
19271927041927042710014-1.4375
192719270419270428100141.375
19271927041927042910014-1.4375
192719270419270430100141.375
192719270519270502100141.375
192719270519270503100141.375
192719270519270504100141.375
192719270519270505100141.375
19271927051927050610014-1.5
192719270519270507100141.25
19271927051927050910014-1.5
192719270519270510100141.375
19271927051927051110014-1.4375
192719270519270512100141.25
19271927051927051310014
19271927051927051410014
19271927051927051610014
192719270519270517100141.25
19271927051927051810014-1.1875
19271927051927051910014-1.3125
19271927051927052010014-1.3125
19271927051927052110014
192719270519270523100141.25
192719270519270524100141.125
192719270519270525100141.125
192719270519270526100141.125
192719270519270527100141.375
19271927051927052810014-1.4375
19271927051927053110014-1.25
19271927061927060110014
19271927061927060210014
19271927061927060310014-1.1875
19271927061927060410014-1.1875
192719270619270606100141.125
192719270619270607100141.125
19271927061927060810014
192719270619270609100141.125
192719270619270610100141.125
19271927061927061110014
19271927061927061410014
19271927061927061510014-1.0625
19271927061927061610014-1.0625
19271927061927061710014
192719270619270618100141
19271927061927062010014-1.125
192719270619270621100141
192719270619270622100141
192719270619270623100141
192719270619270624100141.125
19271927061927062510014-1.0625
192719270619270627100141
19271927061927062810014-1.0625
19271927061927062910014-1.0625
19271927061927063010014-1.0625
192719270719270701100141
19271927071927070210014-1.125
19271927071927070510014-1.0625
19271927071927070610014-1.0625
19271927071927070710014-1.0625
192719270719270708100141.125
192719270719270709100141.25
192719270719270711100141.25
19271927071927071210014-1.125
19271927071927071310014-1.0625
19271927071927071410014
19271927071927071510014-1.0625
19271927071927071610014-1.0625
19271927071927071810014-1.0625
19271927071927071910014-1.3125
19271927071927072010014
192719270719270721100141
192719270719270722100141
19271927071927072310014
192719270719270725100141.125
192719270719270726100141
192719270719270727100141.125
192719270719270728100141.25
19271927071927072910014-1.1875
192719270719270730100141.125
192719270819270801100141.25
19271927081927080210014-1.1875
19271927081927080310014-1.3125
19271927081927080410014-1.1875
19271927081927080510014-1.1875
19271927081927080610014-1.1875
192719270819270808100141.25
192719270819270809100141.75
192719270819270810100141.75
192719270819270811100141.5
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Haikuo
Onyx | Level 15

The code below is under some assumptions, which could not be consolidated by OP's post:

1. 24-days will be 24 continuous obs. While it could be a) 24 calender days b) 24 days with non-missing prc values.

2. Q4 will only be answered on obs level, not permno level. Rules need more details if permno level answer is desired.

proc sort data=have;

by permno date;

run;

      

data want;

         array _std(0:23) _temporary_;

         array _s24(0:23,1:7) _temporary_; retain t_1;

            set have;  

              by permno date;

             if first.permno then  call missing(t_1,_i);

            dif_rate=(prc-t_1)/t_1;    /*question 1*/

             t_1=coalesce(prc,t_1);

             _i+1;

             _std(mod(_i,24))=prc;

           lag_std=std(of _std(*));    /*question 2*/

           _s24(mod(_i,24),1)=year;

           _s24(mod(_i,24),2)=monthdate;

            _s24(mod(_i,24),3)=date;

           _s24(mod(_i,24),4)=permno;

           _s24(mod(_i,24),5)=prc;

           _s24(mod(_i,24),6)=dif_rate;

           _s24(mod(_i,24),7)=lag_std;

           if _i>=24 then do;

             year=_s24(mod(_i+1,24),1);

             monthdate=_s24(mod(_i+1,24),2);

             date=_s24(mod(_i+1,24),3);

             permno=_s24(mod(_i+1,24),4);

             prc=_s24(mod(_i+1,24),5);

             dif_rate=_s24(mod(_i+1,24),6);

             lead_std=lag_std; /*question 3*/

             lag_std=_s24(mod(_i+1,24),7);

             maturity=ifn(.<lag_std-lead_std<0,1,0); /*question 4*/

             output;

            end;

      drop _i t_1;

        run;

Please let us know if your rules have been interpreted per your intention or you need to add more requests.

Out of topic comments: it would be easier for viewers if you could upload big file like this in the format of attachment.

Regards,

Haikuo

ncross
Calcite | Level 5

Thanks very much I will remember that for next time!

As this is daily data we need to consider the standard deviation across not 24 days but 520 days ( the markets are open roughly 260 business days, looking across 2
yrs). Would I be correct in assuming in the above commands where I see 24 replace this with 520??

One last quick question:

In a new, separate data set (unrelated to the question above).

I’m looking to create 2 new columns entitled ‘RD Maturity’ AND ‘ROA Maturity’.

(1) A value of 1 should occur in the ‘RD Maturity’ column if the previous years CHXRD is negative. (If it is a
positive value then 0 in the maturity column)

E.g.:
permno 10006 for the 1272 observation on 196508, a value of 1 should exist in ‘RD Maturity’ because CHXRD is negative -0.2 for 1964.

(2) A value of 1 should occur in the ‘ROA Maturity’ column if the previous years CHROA is negative. (If it is a positive value then 0 in the maturity column)

E.g.;
permno 10002 for the 1272 observation in 199703 a value of 1 should exist in ‘ROA Maturity’ because CHROA is negative -0.0189 for 1996.

A small set of sample data is copied below. I apologise for not adding an attachment. Would I normally do this through the insert image tab?

                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   
lpermnofyearCHXRDCHROAPERMNODISTCDDIVAMTFACPRFACSHRYEARMONTHDCLRDTEXDTRCRDDTPAYDTACPERMACCOMPHSICMG
1000219940.0076
1000219950.003
100021996-0.0189
1000219970.01441000212720.2500199703199703251997040319970407199705010060
100021998-0.0032
1000219990.0052
1000220000.0041
100022001-0.0058
100022002-0.0135
100022003-0.0267
1000220040.0159
1000220050.0098
1000220060.0094
100022007-0.0207
1000220080.0088
100022009-0.0059
100022010-0.0075
1000220110.0013
100061950
1000619510.339
1000619520.393
1000619530.044100061272200195307195307021953062419530629195307150037
100061954-0.4967100061272100195408195408021954072219540727195408160037
1000619551.180.2795
100061956-0.320.1155
100061957-0.820.422
100061958-0.56-0.8531
1000619590.320.3731
1000619600.47-0.1867
1000619610.05-0.4014
100061962-0.670.042
1000619630.340.1236
100061964-0.20.01671000612720.100196411196411061964112319641128196412150037
100061965-0.23-0.05211000612720.1500196508196508061965082419650827196509150037
100061965-0.23-0.05211000612720.1500196505196505071965052519650528196506150037
100061965-0.23-0.05211000612720.200196502196502051965022319650226196503150037
100061966-0.0361
100061967-0.213
100061968-0.0918
1000619691.0120.0938
100061970-0.014-0.0269
100061971-0.143-0.0404
1000619720.2530.0093
1000619730.5270.0728
1000619740.1820.0415
100061975-0.0390.0346
1000619760.5510.0539
1000619770.0720.0229
1000619780.844-0.013
1000619790.3380.0844
1000619801.525-0.0337
1000619811.669-0.1846
100061982-0.573-0.1027
100061983-0.869-0.1627
100161986
100161987-1.98-0.0231
1001619881.557-0.36711001612720.200198811198811211988122319890102198901160038
1001619890.6780.1044
100161990-0.543-0.0015
100161991-2.483-0.1564
1001619921.825-0.0671
10016199312.102-0.2838
100161994-8.397-0.2743
100161995-4.4670.4814
1001619960.6550.0577
100161997-1.956-0.3105
100161998-9.619-0.0513
1001619990.4580.0492
1001620001.6920.2242
100301964
1003019650.0724
100301966-0.0449
1005719641005712621.7500196411196411241964120119641204196412180035
1005719650.030.14481005712720.500196507196507221965072819650802196508130035
1005719650.030.1448100571262100196511196511231965113019651203196512170035
100571966-0.060.11381005712720.500196607196607281966080319660808196608190035
100571966-0.060.11381005712620.800196611196611211966112919661202196612160035
100571968-0.0861005712620.1500196811196811271968120319681209196812200035
1005719690.0074
100571970-0.1298
100571971-0.2111
1005719720.0360.1678
1005719730.4030.143
1005719740.189-0.2727
1005719750.0420.3576
1005719760.334-0.0056
1005719770.32-0.0185
1005719780.2930.2941
1005719790.508-0.0007
1005719800.704-0.0321
100571981-0.0830.0534
100571982-0.217-0.1503
1005719830.131-0.5153
100571984-2.7620.0476
1005719850.640.0143
1005719860.444-0.0175
100571987-0.1340.0726
100571988-0.2150.3242
1005719890.8140.037
100571990-0.6820.1406
100571991-0.094-0.0518
1005719921.201-0.0388
1005719930.31-0.0407
1005719940.433-0.391
1005719951.908-0.1603
100581974
1005819750.1542
100581976-0.1164
1005819770.1511
1005819781.0741
100581979-0.7318
1005819800.2135
1005819810.0909
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ncross
Calcite | Level 5

I substituted the 520 instead of 24 and the command no longer worked. I didnt have enough continous observations.

Is there a way to edit the command to say: consider upto 520 consecutive observations if you do not have this for t=0 then use the maximum consecutive you have available? As long as the number of observations analysed in the -2 years and +2 years surrounding the t=0 are the same in quantity.

Haikuo
Onyx | Level 15

Hi,

I apologize for replying late. The nature of your first problem is more complicated than I first expected, if you try to solve it within single data step. Here is the modified code for your first request (still can't guarantee its correctness), in attachment (go to up-right corner of the typing box, click 'Use advanced editor' to do attachment).

Your second request was a lot easier, here is the code:

data want;

set have;

_CHXRD=lag(CHXRD);

_CHROA=lag(CHROA);

if missing(_chxrd) then call missing(RD_Maturity);

else if _chxrd<0 then RD_Maturity=1;

else RD_Maturity=0;

if missing(_chroa) then call missing(ROA_Maturity);

else if _chroa<0 then ROA_Maturity=1;

else ROA_Maturity=0;

drop _:;

run;

Regards,

Haikuo

ncross
Calcite | Level 5

Thanks very much for your assistance. To confirm _k represents the number of counts?

Haikuo
Onyx | Level 15

Hi,  _k is essentially the number of obs needs to be output in addition by the end of each 'permno'. You don't need it in your final output, I guess I have forgotten dropping it.

Haikuo

ncross
Calcite | Level 5

So if there is a blank in _k can I assume the observation didn't have any consecutive days in the output?

Also lag_std=standard deviation of returns 2 years before (or close to)

and lead_std= standard deviation of returns 2 years after (or close to) is this correct?

Haikuo
Onyx | Level 15

Don't worry about '_k', '_k' is used to close the gap caused by leading operation, it is only a counter to count from 1 to 519, just drop it in:

' drop _: t_1;', you don't need it to distract you right now.  Your time is better off to focus on validating the results.

lag_std: correct.

lead_std: correct.

The code involves multidimensional temporary array, it is not very easy to read. It could be easier if the code was set apart into several steps, but then some degrees of efficiency could be sacrificed.   

Regards,

Haikuo

PaigeMiller
Diamond | Level 26

This seems to me like it is a job for PROC IML. The reason I say that is because it is easy to access data that is 24 months before, or 24 months after, in PROC IML.

Of course, you could do all of this in SAS Data Steps where you use the LAG function. Sort by permno and then monthdate. You'd have to have 24 LAG statements for 24 months before, and then compute the standard deviation. Then sort the dataset by permno and in reverse chronological order, and repeat the 24 LAG statements, this will give you 24 months after from which you could computer the standard deviation.

--
Paige Miller

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