I'm doing my Thesis on Asset pricing models and I would like to find out the effects of business cycles on the performance of asset pricing models for industry portfolios.
My initial idea was to isolate sub-samples of excess industry returns based on the recession periods identified by the CFNAI (Chicago Fed National Activity Index). However, each recession period has different lengths. If I only use monthly excess return data, there would be very low number of samples for certain periods. So is there any suggestions on statistical procedures that would allow me to give a more powerful inference based on the sub-sample regression results?