I'm a business student and currently writing my thesis on comparing asset pricing models on industry portfolio returns. Being a business student, I lack the knowledge for statistical analysis ; so I was wondering if anyone could kindly tell me what I'm suppose to be comparing and looking for? I wrote that I would be using OLS regressions in my research proposal, but i'm seeing a lot of other regressions, for example, Fama-Macbeth.
Can anyone suggest on how I would go about on this topic? Thanks.