Attachment 2.2.1  Combining three data-sets (portfolio, T-bill, and S&P) into one


*  source file: t3mret.sas;
*  look at t-bill rates and combine the t-bill data, S&P data, and portfolio data;

libname ibes '$HOME/IBES';

proc sort data=ibes.returns5 ; by year month ;

data ibes.addtbill ;
        merge ibes.returns5(in=inone) ibes.tbill3mo(in=intwo) ;
        by year month ;
        if inone and intwo ;
            t3mret=(1+tbill3mo)**(1/12)-1;

proc sort data=ibes.addtbill ; by statpyy statpmm cusip year month ;
proc print data=ibes.addtbill; by statpyy statpmm cusip year month ;
run;

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