Event study in SAS

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

请教：

我现在在做一个event study，对于每一个公司，我有一个day 0，现在我想对于每一个公司，从它的day0往前数，往后数天数，直到数到下一个公司为止。
那位高人知道这个code大概应该怎么写，先多谢了！！

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享1 收藏2 回帖

关键词：event study study Event Even vent

..................................

where is your program

这个很好写，你贴个数据上来

1# mike315
程序如下：
*************************************************;
*** Program for basic event study             ***;
*************************************************;
* Read data on event dates and returns from text file;
data returns;
    INFILE 'd:\xiamen\lecture3\events.txt';
    INPUT firm $ @10 DATE yymmdd6. @17 evntdate yymmdd6. evntdum $ ret mrktret;
    format date evntdate yymmdd6.;
    before = date < evntdate;
    if evntdum = '1' then evntdum = 'NEG';
    if evntdum = '2' then evntdum = 'POS';
    * Delete problem firms that do not have clean data or are subject to other issues;
    IF firm in ('74586710','77938210','03741110','03522910','67459910') THEN DELETE;
    IF firm in ('42786610','03251110','92916010','19121610')
        or (firm = '90783410' and evntdate = mdy(7,15,97)) THEN DELETE;
run;
proc sort data=myh.returns out=temp nodupkey;
    by firm evntdate;
run;
proc print data=temp(obs=100);
    title 'unique events';
run;
proc contents data=temp; run;
* Sort and determine number of days with data before event day;
proc sort data=returns;
    by firm evntdate date;
run;
proc means data=returns noprint;
    by firm evntdate;
    output out=nreturns(drop=_type_ _freq_) sum(before)= bef_sum;
run;
* Compute event day counter and split data into estimation and event periods;
DATA estper evntper;
    merge returns(drop=before) nreturns;
    by firm evntdate;
    if first.evntdate then relday= - bef_sum - 1;
    relday + 1;
    if relday < -10 then output estper;
    if -1 <= relday <= 0 then output evntper;
run;
* Compute market model parameters in estimation period;
PROC REG DATA=estper OUTEST=mmparam ( keep=firm evntdate intercept mrktret
                      rename=(INTERCEPT=alpha mrktret=beta) ) NOPRINT;
    BY firm evntdate;
    MODEL ret = mrktret;
run;
proc print data=mmparam (obs=100);
    title 'market model parameters';
run;
* Compute abnormal returns in event period;
DATA ar;
    MERGE evntper mmparam;
    BY firm evntdate;
    AR  = RET - ALPHA - BETA * mrktret;
run;
* Compute cumulative abnormal returns;
PROC MEANS DATA=ar NOPRINT;
    BY firm evntdate;
    id evntdum;
    OUTPUT OUT = car SUM(ar)=CAR;
run;
proc print data=car(obs=100);
    title 'cumulative abnormal returns';
run;
* Calculating the abnormal returns of portfolios and test
  the statistical significance of the results;
PROC SORT DATA=car;
    BY evntdum;
run;
proc means data=car n mean t prt;
    title "Overall results";
    var car;
run;
proc means data=car n mean t prt;
    title "Results by direction of earnings surprise";
    var car;
    by evntdum;
run;
PROC TTEST data=car;
    title "Test of equal AR for positive and negative earnings surprises";
    VAR car;
    CLASS evntdum;
run;

Thanks a lot

哇塞高手啊

学习

高手啊