Fama-French代码分享.docx

对三因素模型的检验上海股市年月到年月的只股票，进行三因素模型的检验。/*3.2.1bjs检验*/libname capm e:fe;/* input close price*/data capm.riraw;infile e:fechap3-2-1 bjs.csv delimiter =,missover dsd lrecl=5000;input date r1-r25 rf rm;run;data capm.rida;infile e:fechap3-2-1 date.csv delimiter =,missover dsd lrecl=5000;input date date1;run;/*股票标记为1-25*/%macro mac;%do i=1 %to 25; data capm.ri&i.; set capm.riraw; code=&i.; ri=r&i.; keep date ri rf rm code;run;%end;%mend mac;%mac;/*3 set 50 dataset*/data capm.ri;set capm.ri1 capm.ri2 capm.ri3 capm.ri4 capm.ri5 capm.ri6 capm.ri7 capm.ri8 capm.ri9 capm.ri10capm.ri11 capm.ri12 capm.ri13 capm.ri14 capm.ri15 capm.ri16 capm.ri17 capm.ri18 capm.ri19 capm.ri20capm.ri21 capm.ri22 capm.ri23 capm.ri24 capm.ri25;run;/*ri分组、日期排序、并合并数据，计算个股的超额收益率和市场的超额收益率*/proc sort data=capm.ri; by date; run;proc sort data=capm.rida; by date;run;data capm.riraw1;merge capm.ri capm.rida; by date;rif=ri-rf;rmf=rm-rf;run;proc sort data=capm.riraw1; by code;run;/*时间拆分为30个数据集，并且每个36个月，逐月递推*/%macro mac;%do i=1 %to 30;data capm.t&i.;set capm.riraw1;if date1=&i. and date1=&i. and date1=37 and date1=37 and date1=66;run;proc sort data=capm.riraw2;by code;run;proc sort data=capm.riraw2;by date1;run;proc sort data=capm.cop1;by code;run;proc sort data=capm.cop1;by date1;run;data capm.cop2;merge capm.cop1 capm.riraw2;by date1 code;keep code date1 ri rm rf p;run;/*计算检验期数据集中各变量的均值*/proc sort data=capm.cop2;by date1;run;proc sort data=capm.cop2;by p;run;proc univariate data=capm.cop2;var ri rm rf;by p date1;output out=capm.ripmean=meanri mean=meanrm mean=meanrf;run;/*计算股票组合的超额收益率和市场超额收益率*/data capm.rip1;set capm.rip;meanrif=meanri-meanrf;meanrmf=meanrm-meanrf;run;/*排序对股后票组合超额收益率和市场超额收益率做线性回归*/proc sort data=capm.rip1;by p;run;proc reg data=capm.rip1outest=capm.beta;model meanrif=meanrmf;by p;run;/*计算同一组的平均月收益率*/proc univariate data=capm.rip1;var meanri;by p;output out=capm.rip2mean=meanrip;run;/*合并月收益率和beta值所在数据集，并对平均月收益率和beta值进行回归检