Hi everyone. The code below is to calculate cumulative returns for a security for a given time period. proc sql;
create table returns as
select permno, date, ret
from crsp.dsf (keep=permno date ret)
where permno in ( 10068 , 12490 )
order by permno, date
;
create table cum_returns as
select permno , exp(sum(log(1+ret))) - 1 as cum_return
, min(ret) as minret , max(ret) as maxret
, n(ret) as n_periods , nmiss(ret) as n_miss
, sum(ret=.P) as n_dot_p , min(date) as first_date
, max(date) as last_date
from returns
where ('01jan1986'd <= date <= '31dec1986'd)
group by permno
;
quit; The code above is calculating cumulative returns for 2 securities, 10068 and 12490 between the first_date and last_date (this is bolded above for clarity). Right now the code is written so that it calculates the cumulative returns for only these 2 securities between these two dates. I have a separate dataset that contains a list of securities and dates that I want to calculate the cumulative returns for. Is there a way to replace the code in the WHERE statement in which I can reference my other dataset? Below is an example of the other dataset that has this information. TransactionDate Permnos
1 20061222 54594
2 20060731 54594
3 20060328 54594
4 20060804 54594
5 20160725 54594
6 20060403 54594
7 20070201 65832
8 20070309 65832 Ideally, I want the transaction date to be the first date and and 6 months the transaction date after will be the last date. Any help would be much appreciated. Thank you in advance!
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