In an empirical analysis I'm trying to predict log() weekly stock returns. I'm trying to model stock returns in a panel data model framework.
As explanatory variables I have 1) a measure of investor attention for each stock , 2) size, and 3) price momentum during the previous 4 and 8 weeks respectively.
I have access to the WRDS database, i.e. CRSP, Compustat, IBES etc.
Any suggestions as to other variables i can include in my empirical analysis? I would like suggested variables to have the same frequency, i.e. weekly observations.