COLLEGE DIRECTORY       :      VISIT ELLER      :      LOG IN 
The University of Arizona | Eller College of Management The University of Arizona Eller College of Management
Eller College Home > Department of Finance > Faculty and Research > Ivalina Kalcheva > Notes to SAS Users
Finance

Notes to SAS Users

"Liquidity Biases in Asset Pricing Tests"

Elena N. Asparouhova, Hendrik (Hank) Bessembinder and Ivalina Kalcheva, Journal of Financial Economics (JFE), forthcoming.


If using SAS, WLS estimates can be obtained by use of the WEIGHT statement in PROC REG, with the weighting variable identified as the prior period gross (one plus) return.   For more details about the WEIGHT statement: http://www.ats.ucla.edu/stat/sas/library/SASReg_mf.htm

In particular, if the variable RET is the simple rate of return, then in SAS:

l1grossret= 1 + lag1(ret);
proc reg outest =name1 data = name2; by period;   
model exret = somevariable;  weight l1grossret;


| More