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 panel data? And can I then add time and firm fixed effects?
Kind regards
Karoline
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 panel data? And can I then add time and firm fixed effects?
Kind regards
Karoline
