Financial Research using SAS

Financial Research using SAS

Financial Research using SAS

1.INTRODUCTION

Introduction to  SAS

Working with SAS

Ground Rules

SAS Data Sets

 

  1. RANDOM WALKING or WALKING RANDOMLY: USING

SAS TO CONDUCT VARIANCE RATIO TESTING OF ASSET PRICES

Background for the random walk theory of Asset prices

The Data

Sample SAS code for variance Ratio Specification Testing

 

3   ANALYZING WINNERS AND LOSER : USING SAS TO TEST THE OVERREACTION HYPOTHESIS

Background on Behavioral issues Specially Related to Overreaction

Data Used for Analysis

Sample SAS Code Evaluating the Existence of Return Reversals

 

4   CROSS-SECTIONAL APPROACH TO THE EMPIRICAL TEST OF THE CAPITAL ASSET PRICING MODEL

The Data

Sample SAS

 

5  EVENT STUDIES

Measuring Abnormal Stock Returns

The Data

 

6  EFFECTIVE USE OF SAS MACROS : AN APPLICATION TO EVENT STUDIES

Alternative test Statistics in Event Studies

The Data

Sample Program

Program Listing

 

7  ASSOCIATION TYPES OF STUDIES: INVESTIGATING THE PRICES- EARNING RELATINSHIP

Background for Association Types of Studies

The Data

Sample SAS Code for Prices Earning Regressions

Program Listing

 

8  PREDICTING BANKRUPTCY FROM FINANCIAL DISTRESS CHARACTERIZATION MODELS

Background for Characterizing firms in Financial Distress

The Data

Sample SAS Program to Evaluate Financial Distress Characterization

 

9  USING ACCOUNTIONG INFORMATION TO FORECAST MARKET PERFORMANCE

Background for Analyzing Fundamental Accounting Information And Market Performance

The Data

Sample Program to Evaluate Financial Information and Market Performance

 

10  ANALYSIS OF TRANSACTION DATA

Background

The Data

Combining Identical Trades

Correcting Time Stamps and computing the Tick Test

Computing Quote Changes and combining them with Trades

Estimation of trade costs

VAR Estimation

 

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