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  • Model selection to study individual fund attribute's impact


    I have daily data for large number of exchange traded funds for 10 years . I am trying to examine the fund attributes such as expense ratio, size etc .. impact on fund performance. Among the attributes, I have one independent variable that is time-invariant. Can you pls advise on the below -
    1. Which model is appropriate in this situation 1. Fama McBeth 2. Fixed Effect or something else (fixed effect throwing collinearity error )
    2. I have on lagged dependent variable in the right side - can I use Sys GMM ?
    3. Is it possible to use Fama French factor models in this situation to get the risk-adjusted return ?

    Any thoughts - greatly appreciated.

    Thank you !!