SAS
Sample Exam Questions
- What is the code below doing? What does variable x represent? proc sort data=returnsout=d_ret;
by date;
proc sort data=market_returns out=d_mret; by date;
merge d_ret d_mret; by date;
x=ret-vwretd;
run;
- In the code below ar is the abnormal return. What is the code doing? What does variable y represent?
data d;
set d;
by permno;
if first.permno then y=ar;
else
y=y+ar;
retain y;
run;
- What are the general steps in an eventstudy?
- The SAS output below reports the results of an event study related to seasoned equity offerings (SEOs). Interpret these
Abnormal Returns around Seasoned Equity Offerings Average
Day AR t-statistic N
| -10 | -0.06 | -0.71 | 1615 |
| -9 | -0.04 | -0.38 | 1615 |
| -8 | 0.04 | 1.19 | 1615 |
| -7 | -0.04 | -0.23 | 1615 |
| -6 | -0.03 | -0.41 | 1615 |
| -5 | 0.03 | 0.81 | 1615 |
| -4 | -0.10 | -1.50 | 1615 |
| -3 | 0.03 | 1.06 | 1615 |
| -2 | 0.14 | 1.70 | 1615 |
| -1 | 0.09 | 1.74 | 1615 |
| 0 | -0.03 | -1.43 | 1615 |
| 1 | -0.17 | -3.70 | 1720 |
| 2 | -0.04 | -0.44 | 1720 |
| 3 | -0.07 | -0.88 | 1720 |
| 4 | -0.06 | -0.69 | 1720 |
| 5 | -0.06 | -0.60 | 1720 |
| 6 | 0.08 | 1.83 | 1690 |
| 7 | 0.00 | 0.25 | 1690 |
| 8 | 0.01 | 0.45 | 1690 |
| 9 | 0.12 | 2.57 | 1690 |
| 10 | -0.06 | -1.02 | 1690 |
- What is the code belowdoing?
%macro temp(i_permno,i_year); data d;
set crspsd.dsf (keep=permno date ret);
where permno=&i_permno and year(date)=&i_year;
proc means data=d mean min max; var ret;
%mend temp;
% temp(35955,1970);
% temp(35955,1971);
% temp(35955,1972);
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