Calculate Stock Return-BHAR

[q1234]

Hi,

Can help me with SAS code to calculate stock return using buy-and-hold abnormal return using the follwoing formula:


T T
BHARi=∏(1+Ri,t) - ∏ (1+Rbenchmark,t)
t=1 t=1


Where R i,t is the monthly return for firm i in month t, and R benchmark, t is the monthly
return for the benchmark in month t.
Firm i is the firm which I need to calculate stock return
The benchmark in my case is the matched firm similar to firm i in the size.


Also the code should include the following restriction:
If the matched firm delisted before calculating the return for firm i, then the next best match should be substituted for the next period.

Many thanks Message was edited by: q1234

[Peter_C]

In what structure are your data?

[q1234]

I have around 700 firms and for each one of them I will calculate the return from a specific date, let us call it the the event year.
so I have the following structure ( the firms, the eventyear, the monthly stock pric for three years after the event year)

Ex;
Portfolio 1(the event firms)
firms event date closing stock prices Jan1999 feb1999.............Dec2001
i 01/01/999 .2 .35 .45

Portfolio 2(the matched firms)
firms date closing stock prices Jan1999 feb1999.............Dec2001
x 01/01/999 .3 .18 .63


Thanx

[Ksharp]

Can you explain the formula ,∏ is to mean cumulative multiply?
And What output looks like?



Ksharp

[yealing]

Yes, ∏ is to mean cumulative multiply

I think the equation might be as followed,

   ret=(exp(lret))-1;

   benchret=(exp(lbenchret))-1;

   bhar=(ret-benchret)*100;

but I don't know how to use the loop to get the buy-and-hold abnormal return on 12 , 24, and 36 months separately.

Thank for your help!