Using SAS 9.4, I want to calculate compound company stock returns following intermittent director trades. Many companies have director trades on consecutive days or several days apart, yet the compounding period extends up to 60 days. There are 2 compounding periods for the calculation of returns: Until the director-trade announcement date plus one day, usually up to 6 days. 60 days after the director trade. A simplified data sample looks like this: Company date director_tradeID Return+1 trade_announcementdate return_count AAA 30APR2010 1 0 AAA 3MAY2010 a 1 06MAY2010 3 AAA 4MAY2010 1 1 AAA 05MAY2010 b 1.01 05MAY2010 1 AAA 06MAY2010 c 0.98 12MAY2010 1 AAA 7MAY2010 0.88 1 AAA 10MAY2010 1.22 3 AAA (up to 1,500 observations) … AAB AAB (similar data to AAA) Where: company date = trading date: thinly traded stocks have missing dates – no trade means no observation. Return+1 = value of stock return plus 1. Return value may be for a period of more than one day. director_tradeID = = signals a director’s trade trade_announcement_date = usually up to 6 days after trading date. return_count = the number of days between consecutive observations My preliminary code for calculating compound returns up to 60 observations from the date of director trade, and the error messages, are as follows: Data returns2 ; Set returns; By company date; if (director_tradeID ' ') then do; x = _n_ ; y = (_n_ + 60); end; call symputx ('firstobserv', x); call symputx ('observ', y); Set returns (firstobs = &firstobserv obs = &observ ) ; if first.company then do; compoundreturn_plus1 = 1; compoundreturn_daycount = 0; End; Else do; compoundreturn_plus1 = (compoundreturn_plus1 * return); compoundreturn_daycount = (compoundreturn_daycount + return_count); End; Retain compoundreturn_plus1 compoundreturn_daycount; Run; The identical error messages for the firstobs and obs options are: ERROR 23-7: Invalid value for FIRSTOBS option ERROR: Invalid number conversion on &. WARNING: Apparent symbolic reference FIRSTOBSERV not resolved. NOTE: The SAS System stopped processing this step because of errors. Proc sql methods to calculate returns may be more efficient, so I’m open to alternate suggestions. Many thanks, TT.
... View more
