You can use U.S. size and book-to-market reference portfolio returns in Eventus by running simple code (not via the point-and-click query pages on WRDS).
Sample Eventus and SAS code and instructions are available all in one file. If you use Eventus through WRDS, please see a sample code file here, configured for use in SAS Studio on the WRDS website. If you are an SSH qsas command user, you will find the Studio sample code to be close to what you need. If you use SSH but the Linux command line environment is not your favorite, you might want to have a look at our guide to using WRDS SAS Studio. The Studio sample code can be adapted for use by PC SAS/Connect remote submission too.
The sample code includes links (which also appear below) to supporting data sets to download and instructions for what to do with them. These data sets are now updated with returns through December 2024. Some older vintages may be available to current Eventus authorized users for replication purposes; start a support request on this site if you need one.
If you have Eventus for Windows, please look in the folder Documents\Eventus\Sample Programs and Data on your PC and find the SAS program file Event Study with Size-Book-to-Market Reference Portfolios.
Download SAS data sets for WRDS from https://eventus1.box.com/v/EventusSizeBkSupportFiles-WRDS
Download SAS data sets for Windows from https://eventus1.box.com/v/EventusSizeBookSupportFiles
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