Calculating Abnormal Returns/CAPM using CSRP
Posted: 18 February 2015 07:52 PM   [ Ignore ]
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Hi all,

I am a student and am new to WRDS/CSRP. I am trying to calculate abnormal returns for a list of companies, of which I have stock price data for my desired date range, as well as the respective PERMNO codes. I know that abnormal returns = ‘actual’ returns - ‘normal’ returns and that ‘normal’ returns can be calculated using several models. I plan to use CAPM, but am uncertain how to go about calculating ‘normal’ returns using the WRDS/CSRP platform. Any help would be very much appreciated.

Thanks!

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Posted: 18 February 2015 08:32 PM   [ Ignore ]   [ # 1 ]
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hi,

This example here should be helpful, it includes estimation of beta and calculation of ‘abnormal’ returns for an event study: http://www.wrds.us/index.php/tutorial/view/17

best regards,

Joost

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Posted: 18 February 2015 09:15 PM   [ Ignore ]   [ # 2 ]
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Thanks for the response, Joost. Is there anyway to do it without SAS?

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Posted: 18 February 2015 09:22 PM   [ Ignore ]   [ # 3 ]
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on the back of cigar box? smile

It should be possible with Stata/SPSS/R, or even Excel. I think SAS is the best tool (for this kind of task). If you already know the other tools, then spending the time to learn SAS may not be worth the effort.

best,

Joost

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