Dear All,
I would like to compute stock returns from prices. I have the following dataset:
data stocks;
input key V1 V2;
datalines;
1 0.1 10
1 0.2 15
2 0.3 25
2 0.4 30
2 0.5 33
;
where "key" is the company id and "V2" is the share price. I would like to obtain the variable V3 = V2(i)/V2(i-1) -1, but only for observations with the same value of the variable key. I would like to have a blank cell when either the V2(i-1) observation is missing or key(i) is different from key(i-1).
key | V1 | V2 | V3 | |
1 | 0.1 | 10 . | ||
1 | 0.2 | 15 | 0.5 = (15/10)-1 | |
2 | 0.3 | 25 | ||
2 | 0.4 | 30 | 0.2 = (30/25)-1 | |
2 | 0.5 | 33 | 0.1 = (33/30)-1 |
My attempt involves the procedure expand. First, I was trying to obtain the variables key and V2 shifted backword by 1 (i.e., key_lead and V2_lead). Then, I was using a conditional statement to check whether two consecutive observations have the same value of the variable "key" and computing the variable V3 as V2/V2_lead -1. However, SAS returns me an error.
proc expand data=stocks out=stocks_lead method = none;
convert key = key_lead / transformout=(lead 1);
convert V2 = V2_lead / transformout=(lead 1);
if key_lead = key
then V3 = V2/V2_lead - 1;
else V3 = .;
run;
Any help would be highly appreciated.
data stocks;
input key V1 V2;
datalines;
1 0.1 10
1 0.2 15
2 0.3 25
2 0.4 30
2 0.5 33
;
data want;
set stocks;
by key v1 v2 notsorted;
v3=v2/lag(v2)-1;
if first.key then v3=.;
run;
Hi Mark,
You can try below mentioned code....
data stocks;
input key V1 V2;
datalines;
1 0.1 10
1 0.2 15
2 0.3 25
2 0.4 30
2 0.5 33
;
data want(drop=prev_key prev_v2);
set stocks;
if prev_key = key then v3 = (v2/prev_v2) - 1;
prev_key = key;
prev_v2 = v2;
retain prev_key prev_v2;
data stocks;
input key V1 V2;
datalines;
1 0.1 10
1 0.2 15
2 0.3 25
2 0.4 30
2 0.5 33
;
data want;
set stocks;
by key v1 v2 notsorted;
v3=v2/lag(v2)-1;
if first.key then v3=.;
run;
Thank you guys!! Both solutions work.
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