Help using Base SAS procedures

how to count three days average abnormal return?

Reply
N/A
Posts: 0

how to count three days average abnormal return?

hi,i will be very grateful to whom can help me work out this problem with sas program! thanks very much!
i want to caculate the three days average return around each stock's rptdt in document 1,while the document 2 has the daily return for the same stock in document 1.
if rptdt is sunday,weekday=1,then should find in document 2:
tradedate=rptdt+1,tradedate=rptdt+2,tradedate=rptdt-2,the three days dailyreturn and then average.......
furthermore,there have 3days vacation begin at 'xxxx-05-01',and 7days vacation begin at 'xxxx-10-01';
following is document 1:(stkcd is stockcode,rptdt is stock recommend date,weekdt is the rptdt weekdate,if weekdt=1 it means sunday....)
Stkcd Rptdt weekdt
002001 2009-04-22 4
002001 2009-05-22 6
002001 2004-08-09 2
002001 2005-03-08 3
002001 2008-02-21 5
002001 2008-04-13 1
002003 2009-02-28 7
600361 2009-09-30 3
600000 2006-09-29 6
document 2Smiley Sad)
stkcd tradedate dreturn
002001 2004-08-06 -0.042711
002001 2004-08-09 -0.013682
002001 2004-08-10 0.006634
002001 2004-08-11 -0.015578
002001 2005-03-07 -0.039711
002001 2005-03-08 0.006015
002001 2005-03-09 -0.008221
002001 2005-03-10 -0.023361
002001 2005-03-11 0.003858
002001 2008-02-19 0.002726
002001 2008-02-20 -0.026645
002001 2008-02-21 0.064525
002001 2008-02-22 0.00105
002001 2008-02-25 0.024902
002001 2008-04-10 0.032546
002001 2008-04-11 -0.011693
002001 2008-04-15 0.023663
002001 2008-04-16 -0.040201
002001 2008-04-17 -0.000262
002001 2008-04-18 -0.021472
002001 2009-04-20 0.005455
002001 2009-04-21 -0.026789
002001 2009-04-22 -0.042509
002001 2009-04-23 -0.024381
002001 2009-04-24 0.01119
002001 2009-04-27 -0.027665
002003 2009-02-25 0
002003 2009-02-26 -0.050544
002003 2009-02-27 -0.025389
002003 2009-03-02 0.1
002003 2009-03-03 0.063407
600361 2009-09-29 -0.017105
600361 2009-09-30 0.009371
600361 2009-10-09 0.049072
600000 2006-09-28 0.005769
600000 2006-09-29 0.015296
600000 2006-10-09 0.099812
600000 2006-10-10 0.010274
Ask a Question
Discussion stats
  • 0 replies
  • 161 views
  • 0 likes
  • 1 in conversation