老师布置了一个作业，要求用从Fama-French 数据库下载的Fama-French 5 factors数据以及9大行业股票的Return数据做OLS回归。但我现在有个疑问：Fama-French 5 factors数据是基于所有股票，而各行业股票的Return数据是单个行业的，这个分析本身是否有意义？或者讲，如果真正做研究，是不是应该基于行业整理出Fama-French 5 factors，然后对应行业股票的RETURN数据？

Part C (10 points). Analysing panel data:
Step 1
Go to http://mba.tuck.dartmouth.edu/pa ... brary.html#Research to download the monthly value-weighted data of Fama-French 5 factors and 10 industry portfolios, but discard the data for “Other” industry. Hence, you only use the data for the remaining 9 industries.

Step 2
Compile a panel dataset using the downloaded data.


Step 3
Run different regression models:
i) Run OLS time series regression for each of the 9 industry portfolios.
ii) Run OLS regression using the panel data.
iii) Try various panel data fixed/random portfolio/time effects regression models.