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joon1
‎12-20-2024
  • 133 Posts
  • 0 Likes Given
  • 2 Solutions
  • 5 Likes Received

Re: Difference computation between quarters in the same company

by Quartz | Level 8 in SAS Programming
‎09-03-2020 06:53 PM
‎09-03-2020 06:53 PM
Thank you so much for your help, Richard.  ... View more

Difference computation between quarters in the same company

by Quartz | Level 8 in SAS Programming
‎09-03-2020 12:39 AM
‎09-03-2020 12:39 AM
Dear Madam/Sir,   I tried to compute differences between quarters in the same company using the following code, but it did not work. GVKEY DATADATE FYEARQ FQTR saley   1004 19850831 1985 1 53.836 1004 19851130 1985 2 61.04 1004 19860228 1985 3 64.541 1004 19860531 1985 4 68.595 1004 19860831 1986 1 66.376 1004 19861130 1986 2 75.907 1004 19870228 1986 3 71.83 1004 19870531 1986 4 84.079 1004 19870831 1987 1 74.543 1004 19871130 1987 2 81.31 1004 19880229 1987 3 92.951 1004 19880531 1987 4 100.858 1004 19880831 1988 1 90.007 1004 19881130 1988 2 100.645 1004 19890228 1988 3 102.318 1004 19890531 1988 4 113.39 1st Quarter saleq = 1st Quarter saley 2nd Quarter saleq = 2nd Quarter saley - 1st Quarter saley 3rd Quarter saleq = 3rd Quarter saley - 2nd Quarter saley 4th Quarter saleq = 4th Quarter saley- 3rd Quarter saley   data a5; set a4; by fyearq; if fqtr=1 then cf1=saley; if fqtr=2 then cf2=saley; if fqtr=3 then cf3=saley; if fqtr=4 then cf4=saley; if fqtr=2 then saleq=cf2-cf1; if fqtr=3 then saleq=cf3-cf2; if fqtr=4 then saleq=cf4-cf3; run;   Any help will be highly appreciated. Thanks Joon1 ... View more

Re: Standard deviation of quarterly sales over the preceding 16 quarte...

by Quartz | Level 8 in SAS Programming
‎09-03-2020 12:26 AM
‎09-03-2020 12:26 AM
Thank you so much. I greatly appreciate for your help. Joon1 ... View more

Standard deviation of quarterly sales over the preceding 16 quarters

by Quartz | Level 8 in SAS Programming
‎09-01-2020 08:46 PM
‎09-01-2020 08:46 PM
Hi Madam/Sir,   I want to construct the standard deviation of quarterly sales over the the preceding 16 quarters using the attached file ("songdata").  GVKEY DATADATE FYEARQ FQTR saleq 1004 19850228 1984 3 50.939 1004 19850531 1984 4 60.128 1004 19850831 1985 1 53.836 1004 19851130 1985 2 61.04 1004 19860228 1985 3 64.541 1004 19860531 1985 4 68.595 1004 19860831 1986 1 66.376 1004 19861130 1986 2 75.907 1004 19870228 1986 3 71.83 1004 19870531 1986 4 84.079 1004 19870831 1987 1 74.543 1004 19871130 1987 2 81.31 1004 19880229 1987 3 92.951 1004 19880531 1987 4 100.858 1004 19880831 1988 1 90.007 1004 19881130 1988 2 100.645   I try to find the relevant code, but it is hard to revise this code. Any help will be highly appreciated. data a2; set a1; by gvkey; array t {16} _temporary_; if first.gvkey then call missing(of t{*}); do fy=sum(lag(fyearq),1) to fyearq-1; t{1+mod(fy,16)}=.; stdsale=std(of t{*}); run;   Thank you Joon1 ... View more

Re: Do loop (macro) in constructing annual buy and hold return using m...

by Quartz | Level 8 in SAS Programming
‎04-03-2020 01:58 AM
‎04-03-2020 01:58 AM
Thank you very much to all.   The following code works well. data c4; set c3; by permno; do n=1 by 1 until(not missing(closemonth)); array logplusone {12} _temporary_; y=year(date); m=month(date); logplusone{m}=log(1+ret); if closemonth^=.; if n(of logplusone{*})=12 then annualbhr=exp(sum(of logplusone{*}))-1; end; run;       ... View more

Re: Do loop (macro) in constructing annual buy and hold return using m...

by Quartz | Level 8 in SAS Programming
‎04-02-2020 11:43 PM
‎04-02-2020 11:43 PM
Thanks, Tom, for your suggesion. However, your programming makes sas program running for a couple of hours without producing output. It seems that there is a indefinite loop in your code. What does "drop rev" indicate? Thanks, Joon1. ... View more

Re: Do loop (macro) in constructing annual buy and hold return using m...

by Quartz | Level 8 in SAS Programming
‎04-02-2020 04:29 PM
‎04-02-2020 04:29 PM
Thanks for your prompt reply, ballardw. Annualbhr is not library name created in the previous step. It is the variable name that I want to construct as shown at the last line in the program. I am not familiar with macro do-loop logic, so I posted this question in the forum.   I am not asking the interpretation of error. My question was how to construct do loop from month 1 (-11 month) to month 12 (closing month).   (1+ret)(1+ret)----(1+ret(closing month)-1=annualbhr   Any help will be appreciated. Thanks Joon1 ... View more

Do loop (macro) in constructing annual buy and hold return using month...

by Quartz | Level 8 in SAS Programming
‎04-02-2020 12:26 PM
‎04-02-2020 12:26 PM
Dear Madam/Sir, I try one example code to construct annual buy and hold return (returns for eleven months ahead of closing  month plus return in closing month) using monthly return.  It will be grateful if anybody can advise me how to fix the following error in do loop. The data set is attached. Thank you. Joon1   data c4; set c3; by permno; if _n_=1 then do until (end_of_annualreturn); set annualbhr end=end_of_annualreturn; ERROR: File WORK.ANNUALBHR.DATA does not exist. array annualbhr {1990:2019,1:12} _temporary_ ; array logplusone {12} _temporary_; y=year(date); m=month(date); logplusone{m}=log(1+ret); if closemonth^=.; if n(of logplusone{*})=12 then annualbhr{y,m}=exp(sum(of logplusone{*})); end; run;     ... View more

Re: Annual buy and hold return using monthly return files

by Quartz | Level 8 in SAS Programming
‎04-01-2020 01:58 PM
‎04-01-2020 01:58 PM
Thanks for your help. I tried the following code and still have an error message. It will be appreciative if you can advise me how to make do loop in the first two lines of the program. Thanks. data c4; set c3; by permno; if _n_=1 then do until (end_of_annualreturn); set annualreturn end=end_of_annualreturn; array annualbhr {1990:2019,1:12} _temporary_ ; array logplusone {12} _temporary_; y=year(date); m=month(date); logplusone{m}=log(1+ret); if closemonth^=.; if n(of logplusone{*})=12 then annualbhr{y,m}=exp(sum(of logplusone{*})); end; run;   error message   435 data c4; 436 set c3; 437 by permno; 438 if _n_=1 then do until (end_of_annualreturn); 439 set annualreturn end=end_of_annualreturn; ERROR: File WORK.ANNUALRETURN.DATA does not exist. 440 array annualbhr {1990:2019,1:12} _temporary_ ; 441 array logplusone {12} _temporary_; 442 y=year(date); 443 m=month(date); 444 logplusone{m}=log(1+ret); 445 if closemonth^=.; 446 if n(of logplusone{*})=12 then annualbhr{y,m}=exp(sum(of logplusone{*})); 447 end; 448 run; NOTE: The SAS System stopped processing this step because of errors. WARNING: The data set WORK.C4 may be incomplete. When this step was stopped there were 0 observations and 33 variables. WARNING: Data set WORK.C4 was not replaced because this step was stopped. ... View more

Re: Annual buy and hold return using monthly return files

by Quartz | Level 8 in SAS Programming
‎03-31-2020 12:29 PM
‎03-31-2020 12:29 PM
Thank you for your reply, Andreas. I used the following code and test data is attached (csv file). data c4; set c3; by permno; if _n_=1 then do until (end_of_annualbhr); set ret end=end_of_annualbhr; array annualbhr {1990:2019,1:12} _temporary_ ; array logplusone {12} _temporary_; y=year(date); m=month(date); logplusone{m}=log(1+ret); if closemonth^=.; if n(of logplusone{*})=12 then annualbhr=exp(sum(of logplusone{*})); end; run;   And I had the following error message. 241 data c4; 242 set c3; 243 by permno; 244 if _n_=1 then do until (end_of_annualbhr); 245 set ret end=end_of_annualbhr; ERROR: File WORK.RET.DATA does not exist. 246 array annualbhr {1990:2019,1:12} _temporary_ ; 247 array logplusone {12} _temporary_; 248 y=year(date); 249 m=month(date); 250 logplusone{m}=log(1+ret); 251 if closemonth^=.; 252 if n(of logplusone{*})=12 then annualbhr=exp(sum(of logplusone{*})); ERROR: Illegal reference to the array annualbhr. 253 end; 254 run; NOTE: The SAS System stopped processing this step because of errors. WARNING: The data set WORK.C4 may be incomplete. When this step was stopped there were 0 observations and 33 variables.   Any help will be highly appreciated. Thank you Joon1   ... View more

Annual buy and hold return using monthly return files

by Quartz | Level 8 in SAS Programming
‎03-30-2020 11:32 PM
‎03-30-2020 11:32 PM
Dear Madam/Sir, I would like to construct annual buy and hold returns in each fiscal year (eleven month ahead of closemonth and closemonth) using monthly return files and try an example code in this forum. I see the following error message. Any help will be highly appreciated.  Thanks. Joon1. data c4; set c3;  by permno;  if _n_=1 then do until; ERROR 22-322: Syntax error, expecting one of the following: (, =. ERROR 76-322: Syntax error, statement will be ignored.  array {1979:2019,1:12} _temporary_ ; ERROR: Undeclared array referenced: array. ERROR 22-322: Syntax error, expecting one of the following: <, <=, =, >, >=, EQ, GE, GT, LE, LT, NE, NG, NL, ^=, ~=. ERROR 76-322: Syntax error, statement will be ignored.  array logplusone {12} _temporary_;  y=year(date);  m=month(date);  logplusone{m}=log(1+ret);  if closemonth^=.;  if n(of logplusone{*})=12 then annualbhr=exp(sum(of logplusone{*})); run; NOTE: The SAS System stopped processing this step because of errors. WARNING: The data set WORK.C4 may be incomplete. When this step was stopped there were 0 observations and 34 variables.   The data form is below. 1 10001 19900131 . -0.0185 2 10001 19900228 . -0.0063 3 10001 19900330 . 0.01266 4 10001 19900430 . 0 5 10001 19900531 . -0.0127 6 10001 19900629 . 0.0141 7 10001 19900731 . 0.02564 8 10001 19900831 . -0.05 9 10001 19900928 . 0.04079 10 10001 19901031 . -0.0128 11 10001 19901130 . 0 12 10001 19901231 12 0.0013   permno date closemonth ret ... View more

Re: Market adjusted buy and hold return calculation using monthly retu...

by Quartz | Level 8 in SAS Programming
‎02-26-2020 02:55 PM
‎02-26-2020 02:55 PM
Thank you so much, mkeintz. I greatly appreciate for your kind advice. Your code works well. ... View more

Re: Market adjusted buy and hold return calculation using monthly retu...

by Quartz | Level 8 in SAS Programming
‎02-23-2020 09:34 PM
‎02-23-2020 09:34 PM
Hi ChrisNZ,   Thanks for your comment Could you please clarify your comment? I don't understand your comment. Joon1 ... View more

Market adjusted buy and hold return calculation using monthly return d...

by Quartz | Level 8 in SAS Programming
‎02-21-2020 09:42 PM
‎02-21-2020 09:42 PM
Dear mkeniz,   I have difficulty to understand the generated output by sas program you advised. I would like to compute the following BHAR: Buy and Hold Abnormal return= ((1+return(m1))(1+return(m2))----(1+return(m12)) - (1+marketreturn(m1)(1+marketreturn(m2))---(1+marketreturn(m12)), where m1=closemonth-11, m2=closemonth-10, m3=closemonth-9, m4=closemonth-8, m5=closemonth-7, --- m12=closemonth   As shown in the excel sheet, the computed values in three different ways  are different.    computed value by original definition above: 0.052 computed value by log and exponential: 0.023 computed value by current sas program: 0.388   It will be highly appreciative if you can give an idea how to fix program to generate the closest computed value by original definition (0.052).   data c4; ** Generate 12-month rolling benchmark returns ** ** Do this only once and save in an array **; if _n_=1 then do until (end_of_benchmark); set benchmark end=end_of_benchmark; array bmrk_ret {1990:2019,1:12} _temporary_ ; array logplusone {12} _temporary_; y=year(date); m=month(date); logplusone{m}=log(1+vwretd); if n(of logplusone{*})=12 then bmrk_ret{y,m}=exp(sum(of logplusone{*})); end; set ch2; by permno; if first.permno then call missing(of logplusone{*}); m=month(date); y=year(date); logplusone{m}=log(1+ret); if closemonth^=.; if n(of logplusone{*})=12 then bhar=exp(sum(of logplusone{*})- bmrk_ret{y,m}); run;   Thank you Joon1   ... View more

Re: Market adjusted buy and hold return calculation using monthly retu...

by Quartz | Level 8 in SAS Programming
‎02-12-2020 12:44 PM
‎02-12-2020 12:44 PM
Dear mkeniz,   I have difficulty to understand the generated output by sas program. I would like to compute the following BHAR: Buy and Hold Abnormal return= ((1+return(m1))(1+return(m2))----(1+return(m12)) - (1+marketreturn(m1)(1+marketreturn(m2))---(1+marketreturn(m12)), where m1=closemonth-11, m2=closemonth-10, m3=closemonth-9, m4=closemonth-8, m5=closemonth-7, --- m12=closemonth   As shown in the excel sheet, the computed values in three different ways  are different.    computed value by original definition above: 0.052 computed value by log and exponential: 0.023 computed value by current sas program: 0.388   It will be highly appreciative if you can give an idea how to fix program to generate computed value by original definition (0.052).   data c4; ** Generate 12-month rolling benchmark returns ** ** Do this only once and save in an array **; if _n_=1 then do until (end_of_benchmark); set benchmark end=end_of_benchmark; array bmrk_ret {1990:2019,1:12} _temporary_ ; array logplusone {12} _temporary_; y=year(date); m=month(date); logplusone{m}=log(1+vwretd); if n(of logplusone{*})=12 then bmrk_ret{y,m}=exp(sum(of logplusone{*})); end; set ch2; by permno; if first.permno then call missing(of logplusone{*}); m=month(date); y=year(date); logplusone{m}=log(1+ret); if closemonth^=.; if n(of logplusone{*})=12 then bhar=exp(sum(of logplusone{*})- bmrk_ret{y,m}); run;     ... View more
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