Can one use Fama French factors in panel data?

29 May 2022 1 3K Report

Hi all, I have a panel data set consisting of monthly returns, ESG scores and Fama French factors. Monthly returns and ESG scores are changing across units and across time. However, the Fama French factors does not change across units, but do change across time. My question is, whether I then can use Fama French factors in a Pooled OLS, RE of FE estimation? And can I then add time and firm fixed effects?

Thanks, Kind regards Karoline

Kehinde Mary Bello

Dear Karoline.

You can run multiple regressions with various variation and choose the one with the best results.

It is a Research, try it and see what the results look like.

Regards

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