BETAS.RPF

BETAS.RPF is an example of a repetitive analysis. The actual calculation is rather simple (just a regression of a stock return on market return to get the beta), but it shows how to run that over a range of stocks input off a separate file.

This first reads a list of ticker symbols from the file ticker.txt. READ(VARYING) is used as we don't know in advance how many items are on that. Once we've read the data, we can get the number using the %SIZE function.

The data file with returns has one series named MARKET and others with the ticker names. Outside the loop, we read in MARKET; inside the loop we use DATA redirection to read data using the ticker name into a SERIES named SECURITY. LINREG(NOPRINT) is used to compute the beta, which will be the second coefficient in the %BETA vector. That's written to the COPY unit: a file named betas.lst.

Full Program

cal(m) 1986:1

allocate 1996:12

open data ticker.txt

declare vector[label] tickers

read(varying) tickers

compute ntickers=%size(tickers)

open data returns.rat

open copy betas.lst

data(format=rats) / market

do i=1,ntickers

clear security

data(format=rats) / security<<&tickers(i)

linreg(noprint) security

# constant market

display(unit=copy) tickers(i) @20 ##.##### %beta(2)

end do i

close copy

Output

There is no direct output from this—instead, it produces a file (betas.lst) with the estimated betas along with the identifier of the security:

r2000 1.02795

spmidcap 0.99785