SAS

Sample Exam Questions

 

1. 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;

 

 

2. 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;

 

 

3. What are the general steps in an eventstudy?

 

4. 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

 

5. 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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