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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 ...


Portfolio behaving like a small cap portfolio is not necessarily a small cap portfolio. Your regression shows the appearance, not the fundamentals.

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