I am trying to investigate some trading strategies based on the Fama French 3-factor model, for which I assumed I need to use adjusted prices to account for dividends and splits. However, my regression give crazy outcomes if I use adjusted prices, and only 'normal' outcomes when I use the unadjusted regular closing prices. Is this normal, since this doesn't reflect 'true' returns? I am totally confused by this.
Thanks in advance!