calculate rolling window beta

[renjithradhakri]

Hi,

I am doing a research where I have to find the monthly beta of around 1000 stocks for 15 years. I have created a SAS table which contain daily historic data of all the stocks and also the market from 2002 to 2017. I would like to find the monthly beta with 30 data points without overlapping values. I would highly appreciate if somebody could help with the coding. 

[Reeza]

What is Beta? Please post some sample data that reflects your actual data and anything you've attempted as well.

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@renjithradhakri wrote:

Hi,

I am doing a research where I have to find the monthly beta of around 1000 stocks for 15 years. I have created a SAS table which contain daily historic data of all the stocks and also the market from 2002 to 2017. I would like to find the monthly beta with 30 data points without overlapping values. I would highly appreciate if somebody could help with the coding. 

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[renjithradhakri]

Thank you for your reply!

In excel beta is often calculated by either calculating the slope or by covariance.

Beta =covariance.p(B2:B32,A2:A32)/var.p(A2:A32) or

Beta = SLOPE (A2: A32; B2:B32)

In this formula column A is the market and B is the stock to be calculated. In the screen shot MSCI_Return is the market.

[Reeza]

Do you have SAS/ETS? If so, look into PROC EXPAND. If you don’t, there are also some links here on how to do that with a data step. 

If you search on here, this has been asked at least twice this year so far and there are answers on here as well. 

https://blogs.sas.com/content/iml/2016/01/27/moving-average-in-sas.html