Calculating Small Minus Big and HML (three Fama and French (1993)factors) when conducting an event study

[Wassim Ben Ayed]

Dear All

Recently, I attempted to use the Event study based on the publication "From common to firm-specific event dates: Anew version of the estudy command". on the Estudy. I discovered three variables connected to the FF factors, but it was unclear how they were calculated. Any ideas on how I can obtain this variable?

[Joro Kolev]

Typically you just download the benchmark factors from Kenneth French data library.