Help using Base SAS procedures

compounded annual returns

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Frequent Contributor
Posts: 96

compounded annual returns

Hi All,

I want to calculate Annual stock returns by compounding monthly stock returns for a twelve-month period ending four months after the end of the fiscal year of the firm. The information I have includes firm_ticker (firm identifier), dates, and fiscal_year_end.

The sample consists of around 4000 unique firms with information for the period 2004 to 2012. Mostly the firms have fiscal year end of December, March, June, and September. The subsample of the data looks as follows

FIRM_TICKER             DATES             FISCAL_YEAR_END             PRICE
A1/31/200498.5
A2/28/200498.25
A3/31/200498.6
A4/30/200499
A5/31/200498.33
A6/30/200498.4
A7/31/200498.6
A8/31/200498.9
A9/30/200498.75
A10/31/200498.8
A11/30/200498.4
A12/31/200498.22
A1/31/200598.9
A2/28/200598.75
A3/31/200598.8
A4/30/200598.4
A5/31/200598.22
A6/30/200598.4
A7/31/200598.6
A8/31/200597.9
A9/30/200597.8
A10/31/200598
A11/30/200598.2
A12/31/200598.25

I would appreciate if someone could share the code for annual return calculation.

Thanks in advance.

Respected Advisor
Posts: 3,902

Re: compounded annual returns

Can you please provide a data step which creates sample data and then also give us a sample of how the result should look like?

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