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omars92
‎12-12-2018
  • 3 Posts
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Re: How do I calculate annual stock beta from daily returns?

by Calcite | Level 5 in SAS Programming
‎12-06-2018 03:31 PM
‎12-06-2018 03:31 PM
Thank you Ksharp. The code worked perfectly. ... View more

Re: How do I calculate annual stock beta from daily returns?

by Calcite | Level 5 in SAS Programming
‎11-29-2018 10:11 AM
‎11-29-2018 10:11 AM
Sorry, I should have specified that I’m trying to estimate each stock’s annual CAPM beta (ideosyncratic risk). I have thought of estimating the covariance of RETURN with MARKET_RETURN by PERMCO YEAR and divide by the variance of MARKET return but cannot find a way to get the covariance value without the covariance matrix ... View more

How do I calculate annual stock beta from daily returns?

by Calcite | Level 5 in SAS Programming
‎11-29-2018 02:18 AM
‎11-29-2018 02:18 AM
Hello,   I have a time series sample of 4000 firms over 18 years period (2000-2017). I am trying to find a way to use the daily returns in order to estimate the annual beta for each stock. I am unsure of what code to use. Any advice or guidance on how to structure my SAS code is highly appreciated. (SAS version 9.4)   My data is structured as follows:   PERMCO           DATE         COMPANY_NAME            RETURN        MARKET_RETURN       YEAR         PERMCO&YEAR 153                  2000-02-01                                               -0.15                                                    2000            1532000  153                  2000-02-02                                                0.1                                                       2000 153                  2000-02-03                                                 0.2                                                       2000 153   . . . 153                  2017-12-28  674 674 674 . . . 2114 2114 211 etc...   I would like the output to look something like shown below: (1 beta for each stock per year)   PERMCO             YEAR            BETA 153                      2000               153                      2001 153                      2002           674                      2015 2114                    2017  etc...   Thank you ... View more
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