I hesitate to use LAG... I would try something like this:

data aaa;
input ticker $ date mmddyy10. price;
format date mmddyy10.;
cards;
ABC   1/1/2002  10
ABC   1/2/2002  11
ABC   1/5/2002  12
ABC   1/6/2002  13
ABC   1/7/2002  14
DEF   1/1/2002  9
DEF   1/2/2002  11
DEF   1/5/2002  13
DEF   1/6/2002  15
DEF   1/7/2002  18
;
run;
proc sort; by ticker date; run;

* assign n=1,3,5 etc,  n=1 means return between that date and 1 business day prior * ;
%let nday = 1;

data aaa1;
set aaa;
by ticker date;
if first.ticker then n = 1;
else n+1;
seq = mod(n,&nday);
run;
proc sort; by ticker seq date; run;

data bbb;
set aaa1;
by ticker seq date;
retain temp;
if first.seq then do; temp = price; return = .; end;
else do;
        return = price/temp - 1;
        temp = price;
end;
drop temp seq n;
run;
proc sort; by ticker date; run;
               
有点啰嗦，见谅哈！