You can use U.S. size and book-to-market reference portfolio returns in Eventus by running 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 the appropriate sample code file attached, depending on whether you prefer to use SAS Studio on the WRDS website or remotely submit code from PC SAS to WRDS. 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 this Linux command line environment is not your favorite, you might want to have a look at Studio.
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 through the second quarter of 2022.
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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