I want to study the impact of corporate culture on risk-adjusted stock returns. After quantifying corporate culture I wanted to use panel methodology (I have a sample of 100 S&P500 companies over 10 years) to study the question. As for the risk-adjusted returns I use Jensen's alpha from CAPM and Treynor measure and estimate those using rolling regressions of the previous 36-months returns for each month. After estimating monthly alphas for each stock, I calculate cumulative quarterly alphas ((1+r_m1)(1+r_m2)(1+r_m3)-1) and regress quarterly alphas on one-period lagged corporate culture measures. However, I also want to calculate alphas using Fama-French model. Can I do it for single stocks and proceed in the same fashion? I read journal articles and I found no paper where an author would calculate alpha for a single stock... everywhere portfolios are constructed. Can anyone explain to me the reason why constructing portfolios are favourable and assess my model? Does it make sense to calculate alphas for single stocks?
Thank you!