%let wrds = wrds.wharton.upenn.edu 4016;
options comamid=TCP remote=WRDS;
signon username=_prompt_;

rsubmit;
options source nocenter ls=72 ps=max;
libname comp        '/wrds/comp/sasdata/d_na';
libname crsp        ('/wrds/crsp/sasdata/a_ccm','/wrds/crsp/sasdata/a_stock','/wrds/crsp/sasdata/a_indexes');





data crsp;
    set crsp.dsf;
    if year(date)=1984;


*remove duplicates;
proc sort data = crsp
    dupout = duplicates
    noduprecs;
by permno;


proc sql;
    create table crsp1 as
    select *,count(date) as count_date
    from crsp
    group by permno;
quit;


*delete observations if trading days less than 240;
data crsp2; set crsp1;
    if count_date <=240 then delete;


proc sort data = crsp2; by permno date;


data crsp2a; set crsp2;
    cyear=year(date);



data crsp3; set crsp2a;
    by permno;
    lag_ret=lag(ret);
    if first.permno then lag_ret=.;



data crsp4; set crsp3;
    by permno;
    if first.permno then x=1;
    else x+1;



proc sort data=crsp4;
    by permno descending x;



data crsp5; set crsp4;
    by permno descending x;
    l=lag(x);
    lead_ret=lag(ret);
    if first.permno then do;
    l=.;
    lead_ret=.;
    end;



proc sort data=crsp5;
    by permno x;


data crsp6; set crsp5;
    keep permno date cyear ret lag_ret lead_ret ;



proc sort data=crsp6; by permno date;


data crsp7;set crsp6;
    by permno cyear;
    if first.permno then cumret1 = 1;
    if missing(ret)=0 then cumret1 = cumret1 * (1+ret);
        else cumret1 = cumret1;
        cumret = cumret1 - 1;
    retain cumret1;
    label cumret = "Cumulative Annual Return";



data crsp7a; set crsp6;
    by permno;
    if first.permno then cumret1 = 1;
    if missing(ret)=0 then cumret1 = cumret1 * (1+ret);
        else cumret1 = cumret1;
    cumret = cumret1 - 1;
    retain cumret1;label cumret = "Cumulative Annual Return";
    if last.permno then output;


data crsp7b; set crsp7a;
    annual_return=cumret;
    drop cumret;




proc sql;
create table crsp8 as select a.*,b.annual_return from crsp7 as a left join crsp7b as b on a.permno=b.permno and a.cyear=b.cyear;


proc sort data=crsp8; by permno date;










data comp;
    set comp.fundq;
    if indfmt='INDL' and datafmt='STD' and popsrc='D' and consol='C';

    if year(rdq)=1984;


data comp1; set comp;
cyear1=year(rdq);



proc sort data = comp1; by gvkey cik cusip cyear1 rdq;



proc sql;
    create table comp2 as
    select *,count(rdq) as count_rdq
    from comp1
    group by gvkey, cyear1;
quit;

*delete observations if announcement windows not exactly 4;
data comp3; set comp2;
    if count_rdq ne 4 then delete;




data comp4; set comp3;
before=rdq-1;
event=rdq;
after=rdq+1;



data comp5; set comp4;
format before yymmdd10.;
format event yymmdd10.;
format after yymmdd10.;



data comp6; set comp5;
if year(before) ne cyear1 then delete;
if year(after) ne cyear1 then delete;



proc sql;
  create table merge1
  as select distinct a.*, b.lpermno as permno,
    case when b.linkprim = 'P' then 2 when b.linkprim = 'C' then 1 else 0 end as LinkScore
  from comp6 as a, crsp.CCMXPF_LNKHIST as b
    where a.gvkey = b.gvkey
    and b.lpermno ne .
    and b.LINKTYPE in ("LC", "LU", "LS", "LN")
    and ((a.datadate >= b.LINKDT) or b.LINKDT = .B)
    and ((a.datadate <= b.LINKENDDT) or b.LINKENDDT = .E)
    group by a.gvkey, a.datadate
  having LinkScore = max(LinkScore);
quit;




proc sql;
create table merge2 as select a.*, b.date, b.ret, b.lag_ret, b.lead_ret, b.cumret, b.annual_return from merge1 as a left join crsp8 as b on a.permno= b.permno and a.rdq= b.date;



proc sort data = merge2; by permno rdq;


proc sql;
    create table merge3 as
    select *,count(rdq) as count_rdq1
    from merge2
    group by permno, cyear1;
quit;

*delete observations if announcement windows not exactly 4;
data merge4; set merge3;
    if count_rdq1 ne 4 then delete;


proc sort data=merge4; by permno rdq;


data merge5; set merge4;
window_return=(1+lag_ret)*(1+ret)*(1+lead_ret)-1;


data merge6; set merge5;
by permno;
if first.permno then x=1;else x+1;


data merge7; set merge6;
by permno;
  if first.permno then do;
    window1_return= .;
    window2_return= .;
    window3_return= .;
    window4_return= .;
  end;

  if x=1 then do;
    window1_return=window_return;
  end;

  if x=2 then do;
    window2_return=window_return;
  end;

  if x=3 then do;
    window3_return=window_return;
  end;

  if x=4 then do;
    window4_return=window_return;
  end;

  if last.permno then output;

  retain window1_return window2_return window3_return window4_return;

run;


proc download data=merge7;


data merge8; set merge7;
proc reg data = merge8;
    model annual_return = window1_return window2_return window3_return window4_return;
run;