基于sas系統(tǒng)的金融計算隨書光盤char

11.2.2從600600~600699, 中隨機抽取的支datadohexcd=600600to600699,600800toprocsql;create _tmp_select*,ranuni(128)as_ran_fromaorderbycalculated_ran_;dataset_tmp_(obs=10);drop_ran_; puta$hexcd$ c$; dataa;setstoindif.a1a0001;whereprocsortdata=a;byyearqtrmonth;datab;setlast_y=last.year;/*標(biāo)出某年的最后一個日*/last_q=last.qtr;/*標(biāo)出某季的最后一個日*/last_m=last.month;/*標(biāo)出某月的最后一個日*/byyearqtrmonth;datacompufin.r_month(keep=date rm);setb;iflast_m=1;labelrm='證指數(shù)月收益';formatdateyymmd7.;procsort bydate;%macroa(x);dataa;setstoindif.a&x;whereprocsortdata=a;byyearqtrmonth;datab;setlast_y=last.year;/*標(biāo)出某年的最后一個日*/last_q=last.qtr;/*標(biāo)出某季的最后一個日*/last_m=last.month;/*標(biāo)出某月的最后一個日*/byyearqtrmonth;datar_month(keep=date r&x);setb;iflast_m=1;formatdateyymmd7.;procsortdata=r_month;bydate;datamergecompufin.r_monthr_month;bydate;%menddatacompufin.r_month;setcompufin.r_month;where1995<=year(date)<=2000;if_n_=1thendelete;dataa;don=xtoy;formatdateyymmdd10.;datacompufin.deposit_r(label='一年期存款利率');seta;labely_r='一年期存款利率';labeldate=’日期’;keepdateifmdy(4,21,1991)<=date<mdy(5,15,1993) theny_r=7.56/100;ifmdy(5,15,1993)<=date<mdy(7,11,1993) theny_r=9.18/100;ifmdy(7,11,1993)<=date<mdy(5,1,1996) theny_r=10.98/100;ifmdy(5,1,1996) theny_r=9.18/100;ifmdy(8,23,1996)<=date<mdy(10,23,1997) theny_r=7.47/100;ifmdy(10,23,1997)<=date<mdy(3,25,1998) theny_r=5.67/100;ifmdy(3,25,1998)<=date<mdy(7,1,1998) theny_r=5.22/100;ifmdy(7,1,1998) theny_r=4.77/100;ifmdy(12,7,1998)<=date<mdy(6,10,1999) theny_r=3.78/100;ifmdy(6,10,1999)<=date<mdy(2,21,2002) theny_r=2.25/100;ifmdy(2,21,2002)<=date theny_r=1.98/100;dataa(keep=daterf);setcompufin.deposit_r;renamey_r=rf;datacompufin.r_month;mergecompufin.r_montha;bydate;ifrm=.then /**/labelrf='月無風(fēng)險收益';創(chuàng)建包含超額月收益數(shù)據(jù)集datacompufin.r_month;setcompufin.r_month; /*r_m*/r_600862='國際超額收益'r_600824='益民百貨超額收益'r_600617='聯(lián)華合纖超額收益'r_600803='威遠生化超額收益'r_600600='青島啤酒超額收益'r_600807='濟南百貨超額收益'r_600616='第一食品超額收益;11.2.3月超額收益作圖proc pufin.r_month r_600603*r_m='*'/href=0; proc pufin.r_monthmaxdec=5plot /overlayiddate; /*ID語句打印輸出了列表中的ID變量值*/ 11.3.1CAPMCAPMprocreg modelr_600603=r_m/dwspec;outputout=out1r=r slope:testr_m=1;title2'11.3.5goptionsreset=globalgunit=pctcback=whiteborderhtitle=6htext=3ftext=swissbcolors=(black);goptionsreset=symbol;/**/procsortdata=out1out=r_out;byr_m;dataregdata(keep=y_valuept_typer_m);setr_out;labelpt_type='ObservationType';arrayregvar(4)r_600603 lu;arrayvarlabel(4)$12. ('Actual''Predicted' 'LowerLimits' 'UpperLimits');doi=1to4; procgplotploty_value*r_m=pt_type/haxis=axis1hminor=4vminor=4;symbol1v=*h=3.5pctfont=swissbcolor=blackr=1;symbol2i=joinfont=swissbl=1color=bluer=1;symbol3i=joinfont=swissbl=1color=greenr=1;symbol4i=joinfont=swissbl=1color=redr=1;axis1order=(-.3to.15by.05);axis2label=(angle=90'r_600603')order=(-.5to.5bytitlef=HWDMX001'實際值和預(yù)測值';title2f=HWDMX001 procplotdata=out1plotr*date='*'/vref=0vaxis=-.25to.25by.1haxis='31jan95'dto'31dec00'dbyyear;title2殘差對時間散點圖';procplotdata=out1 r*r_m='*'vref=0vaxis=-.25to25by.1title2'R_M的散點圖';CAPM多支CAPM回歸擬合程序：proc pufin.r_monthoutest=compufin.capmest1 %Macromodel&x =r_m/dwspec;slope:testr_m=1;%mendprocreg cp;modelr_600804=r_m/dwspec;slope:testmodelr_600687=r_m/dwspec;slope:testr_m=1;modelr_600862=r_m/dwspec;slope:testr_m=1;modelr_600824=r_m/dwspec;slope:testr_m=1;modelr_600617=r_m/dwspec;slope:testr_m=1;modelr_600803=r_m/dwspec;slope:testr_m=1;modelr_600600=r_m/dwspec;slope:testr_m=1;modelr_600807=r_m/dwspec;slope:testr_m=1;modelr_600616=r_m/dwspec;slope:testr_m=1;modelr_600603=r_m/dwspec;slope:testr_m=1;odstraceon/labelprocregdata=compufin.r_month cp;modelr_600603=r_m/dwspec;output odstraceOdslistingclose;*關(guān)閉LISTINGOdsoutputParameterEstimates(match_allpersist=proc)=OdsoutputFitStatistics(match_allpersist=proc)=FitStatistics;OdsoutputSpecTest(match_allpersist=proc)=SpecTest;OdsoutputDWStatistic(match_allproc pufin.r_monthoutest=compufin.capmest1 %Macromodel&x =r_m/dwspec;slope:testr_m=1;%mendOdslisting;/*打開LISTINGtDataSetEstimatesEstimates1Estimates2Estimates3Estimates4Estimates5Estimates6Estimates7Estimates8 DataSetDwstatisticDwstatistic1Dwstatistic2Dwstatistic3Dwstatistic4Dwstatistic5Dwstatistic6Dwstatistic7Dwstatistic8Dwstatistic9;Data Fitstatistics6Fitstatistics7Fitstatistics8Fitstatistics9;DataSetSpectestSpectest1Spectest2Spectest3Spectest4Spectest5Spectest6Spectest8Spectest9;datasetcompufin.capmest1;format_numeric_8.4;optionsnocenter;procprintdata=avarinterceptr_m_rsq__adjrsq_;id_depvar_;toptionsprocprint iddependent;varvariableestimatestderrtvalueprobt;optionsprocprint varlabel1cvalue1label2cvalue2;iddependent;optionsprocprint iddependent;varlabel1cvalue1nvalue1;optionsprocprintdata=compufin.Spectest;iddependent;vardfchisqprobchisq;Odslistingclose;/*關(guān)閉LISTING*/OdsoutputParameterEstimates(match_allpersist=proc)=Estimates;OdsoutputFitStatistics(match_allpersist=proc)=FitStatistics;OdsoutputSpecTest(match_allOdsoutputDWStatistic(match_allproc pufin.r_monthoutest=compufin.capmest11 %Macromodel&x r_mnointdwspec;/*noint選項規(guī)定擬合無截距的回歸模型*/slope:testr_m=1;%mendOdslisting;/*打開LISTINGdatasetcompufin.capmest11;format_numeric_8.4;optionsnocenter;procprintdata=a r_m_rsq__adjrsq_;id_depvar_;datacompufin.residuals(keep=date);set%macroprocreg model&x=r_m/dwspec;outputout=out datacompufin.residuals;mergecompufin.residualsout;%mendproc pufin.residualsnormal r_r_600804r_r_600687r_r_600862r_r_600824r_r_600617r_r_600803r_r_600600r_r_600807r_r_600616 proc pufin.Residuals r_r_600804*r_m='*vref=0vaxis=-.25to.25by.1title2'殘差對R_M的散點圖';proc pufin.Residuals r_r_600862*r_m='*vref=0vaxis=-.25to.25by.1title2'殘差對R_M的散點圖';用R-M作變量進行回歸dataa(keep=r_600804 setcompufin.r_month;r_600804w=r_600804/r_m;procregmodelr_600804w=r_mw/nointdwspec;outputout=out tPr>1procgplotdata=out; procunivariatedata=outnormalplot;varr;CAPMprocreg pufin.r_monthoutest=capmest1;modelr_600603=r_m/dwspec;datacapmest1;setcapmest1;renamer_m=beta;procprintdata=capmest1;var_depvar_interceptbeta;title2估計CAPM回歸參數(shù)';dataforecast;setdof_r_m=-.02to.07by.01; labelf_r_m='FutureMarketRiskPremium'pred='PredictedStockRiskPremium'return='PredictedFutureStockReturn';optionsp