Date:         Thu, 8 Oct 2009 15:07:08 -0400
Reply-To:     "Keintz, H. Mark" <mkeintz@WHARTON.UPENN.EDU>
Sender:       "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:         "Keintz, H. Mark" <mkeintz@WHARTON.UPENN.EDU>
Subject:      Re: Calculating Returns by Stock
Comments: To: "B.Abbey" <AbbeyFN@AOL.COM>
In-Reply-To:  <9b88b90c-3f7e-412a-90ff-9a773f0b0c20@k41g2000vbt.googlegroups.com>
Content-Type: text/plain; charset="us-ascii"

B.Abbey:

The program below generates the cumulative returns, for each stock, at each time.

Data one (drop=lag_stock lag_price);
  Infile cards;
  input stock price;
  retain cum_return;

  lag_stock=lag(stock);
  lag_price=lag(price);
  if lag_stock^= stock then cum_return=0;
  else cum_return=  (1+cum_return) * (1 + (price-lag_price)/lag_price) - 1;
datalines;
1 11
1 12
1 10
1 21
1 13
2 21
2 19
2 25
RUN;


> -----Original Message-----
> From: SAS(r) Discussion [mailto:SAS-L@LISTSERV.UGA.EDU] On Behalf Of
> B.Abbey
> Sent: Wednesday, October 07, 2009 10:42 PM
> To: SAS-L@LISTSERV.UGA.EDU
> Subject: Calculating Returns by Stock
>
> I need to calculate the returns for each specific stock.  I am unsure
> how to approach this.  The code is below but it calculates the returns
> for all of them.  I need it to calculate the returns for stock 1 and
> then start over and calculate the returns for stock 2.
>
> DATA one ;
>    INFILE  cards ;
>    INPUT  stock price;
>
> CARDS;
>
> 1 11
> 1 12
> 1 10
> 1 21
> 1 13
> 2 21
> 2 19
> 2 25
> ;
> RUN;
>
> data two;
>    set one;
>    plag1 = LAG(price);
>    return = (price - plag1) / plag1;  // This calculates returns going
> straight down
> run;                                           // I need it to
> calculate the final return for stock 1
>                                                 // then calculate
> returns for 2