I have some homework to do. If anyone can help me with this it'd be a great help. I need to collect the monthly returns for a set of at least 1000 stocks that trade continuously from January 2000 through December 2007, as well as the SP500. You may freely decide to use stocks from any/all exchanges. Test whether the current monthly return can significantly explain the subsequent monthly return. Conduct test on a stock-by-stock basis and report averages. Also, using 2007 daily return data for one stock, conduct test based on daily returns (CRSP RET variable) and on daily returns constructed from the closing bid and ask price (available on CRSP). The returns are supposed to come from CRSP and the RET variable is the "monthly return" and "daily return" depending on which file I'm using data from. The SP500 is the var "SPRTRN" and exchange is "EXCHCD" If someone could give me the bare bones code for this I should be able to figure it out from there.

Thanks.