Help using Base SAS procedures

Standard deviation of returns before event

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Contributor
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Standard deviation of returns before event

Hi all! I have one dataset with event dates of firm mergers and another dataset with the firm's daily stock returns for several years before and after the event.  I'm trying to get the standard deviation of the stock returns from days -205 to -6 before the event.  The two datasets share a firm identifier, permno.  I can't figure out how to get the standard deviation for only that time period before the merger event.  Any help will be appreciated! Thank you!

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Re: Standard deviation of returns before event

Time to provide some more detail on you data structures as you first need to mark each daily record with whether it is in the period of interest. How do we know when the even occurs? And wouln't there be two firms before? So do you want the standard deviation for each of the stocks? Are there multiple "events" for any of the firms? If so, do any of the events occur within the desired time frame of another later event? If so, how should that be treated?

Contributor
Posts: 23

Re: Standard deviation of returns before event

Thanks for responding!

The "event date" is the date the merger was announced, so there are two separate firms at this event time, but I'm only interested in the acquirers' returns.  There are multiple events for some of the firms, and they can occur within this time frame of another later event.  Some firms are involved in a merger every year for several years in a row.  That's why I'm having trouble with this.  I need to treat each merger as a single and separate event, get the returns for the acquirer's stock from day -205 to -6 before the announcement date, and then take the standard deviation of those returns.  Does this help explain the data? I can attach the merger data if that will help, but obviously the daily stock return data is too large to attach.

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