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The R function you have to use is the lm() function. On QuickR you can find a simple and clear tutorial on how to estimate a linear (multiple) regression model generally using the lm(). As further reference, I suggest you to read the Introducing R tutorial about linear model by G. Rodriguez. I did not read the paper you cited, but, anyway, you should ...


By assuming the procedure you followed in replicate the model is correct and there are not errors in data mining or quality, your findings could be affected and influenced by several reasons. I report as follows those that, according to me, could be the main ones: Data sample: the dataset you used to replicate the Fama-French model could be too little in ...

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