Good evening everyone,   I am trying to calculate 3-day-window (Day -1,Day 0, Day +1) market-adjusted buy-and-hold return with CRSP data.   I checked several posts which had a similar topic to mine but still can't figure out how to do it.    My data are as below:   TICKER DATE RET VWRETX AAAP 2007/05/01 0.033 -0.0173 AAAP 2007/05/02 0.021 0.00147 AAAP 2007/05/03 -0.01 0.00165 AAAP 2007/05/04 0.016 0.03 AAAP 2007/05/05 0.023 0.045 AAAP 2007/05/06 -0.005 0.004 AAPL 2007/05/01 -0.056 0.0014 AAPL 2007/05/02 0.029 -0.007 AAPL 2007/05/03 0.1 -0.00016 AAPL 2007/05/04 0.001 0.045 AAPL 2007/05/05 -0.0821 0.0018 AAPL 2007/05/06 0.005 0.065   RET  = stock return, and VWRETX  = market return.   And the formula is: { [(1+RET) of day -1]*[(1+RET) of day 0]*[(1+RET) of day +1]                      -  { [1+VWRETX) of day -1]*[1+VWRETX) of day 0]*[1+VWRETX) of day +1] }   Also, I want to set each day as day 0 so that I can get buy-and-hold return for each day (somewhat similar to moving average).    How can I do that? Any advice or comment will be highly appreciated.     Thank you!      ... View more

Dear all:   I'm a beginner user of SAS and struggling with constructing a database. The original one looks like:   OFTIC   TICKER   MEASURE   VALUE  ACTUAL  ANNDATS_ACT        A              1            EPS              0.1        0.9          2015/01/30     A              1            EPS              0.5        0.9          2015/01/30     A              1            EPS              0.8        0.9          2015/01/30     A              1            BPS              0.5        0.8          2015/01/30     A              1            BPS              0.4        0.8          2015/01/30     A              1            BPS              0.2        0.8          2015/01/30     A              1            CPS              1.5        3.5          2015/01/30     A              1            CPS              2.8        3.5          2015/01/30     A              1            CPS              5.5        3.5          2015/01/30   I would like to add columns that show the mean VALUE and the ACTUAL of each measure grouping by OFTIC, TICKER, ANNDATS_ACT. The table I want to create looks like:    OFTIC   TICKER  ANNDATS_ACT  EPS_AVG   EPS_ACTUAL   BPS_AVG   BPS_ACTUAL       A               1          2015/01/30              0.466              0.9                0.366              0.8                     CPS_AVG   CPS_ACTUAL        3.266               3.5    I'm trying to make it through just dividing the original database by MEASURE and merging them. However, there are over 24 different measures and thousands of observations.    Could anybody give a piece of advice to me? Any comments would be highly appreciated.    Thank you.  ... View more