compute monthly return from dsf
Posted: 20 March 2016 02:41 AM   [ Ignore ]
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I calculate monthly idiosyncratic vol by using daily returns, and I need monthly returns. Will I need compute monthly return from dsf or I just retrieve from msf? If i need calculate it, how?

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Posted: 20 March 2016 07:49 PM   [ Ignore ]   [ # 1 ]
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hi,

CRSP msf has monthly returns, no need to calculate if you need ‘full months’ (i.e., from first trading day of the month until last trading day of the month)

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Joost

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