- Do you want rolling 252-day returns?
- Do you want only full 252-day windows?
Let's say your answer to each question is yes. Then: (code amended):
data want (drop=_:);
set have;
by cusip notsorted;
if first.cusip then call missing(_obs,_sum_log_cusip_ret_plus1,_sum_log_index_ret_plus1);
_obs+1;
_sum_log_cusip_ret_plus1 + log(1+ret) - ifn(_obs>252,lag252(log(1+ret)),0) ;
_sum_log_index_ret_plus1 + log(1+vwretd) - ifn(_obs>252,lag252(log(1+vwretd)),0);
window_start = lag251(year) ;
if _obs>=252 ;
bhar_252 = exp(_sum_log_cusip_ret_plus1) - exp(_sum_log_index_ret_plus1) ;
run;
This assumes your data are sorted by cusip and date (which you have labelled as year). Now if the data are not sorted by cusip, but are sorted by date within cusip, you can change
by cusip;
to
by cusip notsorted;
Now note that this involves calculating 252-day cumulative returns for VWRETD for each CUSIP. But the VWRETD is based on a market index, and thus has the same value for every cusip on each given date. This means that if you have, say, 400 CUSIPs, you will be calculating the same values 400 times for the VWRETD components, where you really need to do it only once. After calculating those returns once, you can store them in an array indexed by date. Then, for each CUSIP, just retrieve them for calculating BHAR by date. In other words, you could cut down your total calculations by half (400 times for 400 CUSIP returns, but only once for index returns).
Edited note: I didn't notice a missing close paren in the lag252 argument. It should have been lag252(log(1+ret)), not lag252(log(1+ret). Same with the vwretd-based component. It's now corrected in the code above.
Also I have added retrieval of a window starting date, as per other comments by @Fer_.
