# Don't know if it is obvious, but how do I fit the following model in R?

From the Paper "momentum crashes", Daniel and Moskowitz

$$I_B$$ is a dummy Variable which could be either one or zero

Is it possible to regress on two intercepts? or do i get something wrong ? Are there options to create my own linear regression model ?

What I would do: run the regression twice.

The first time use only the time periods with $$I_{t-1} = 0$$

The resulting Alpha and Beta will be estimates of $$\alpha_0,\beta_0$$

Now run the regression a second time, using the other data points, those with $$I_{t-1} = 1$$. The resulting Alpha and Beta are estimates of $$\alpha_0+\alpha_B,\beta_0+\beta_B$$. By subtracting the already known $$\alpha_0,\beta_0$$, you can find $$\alpha_B,\beta_B$$.

• Thank you very much! just one thought left: since it is called conditional CAPM, doesn't the compare group (you suggested as first regression: I = 0) hast to be the whole sample, so the unconditional fit (so alpha(0) contains all values, alpha(b) only I=1)
– KDMS
Jun 23, 2019 at 12:27
• nvm since checking with the solutions your attempt makes sense thanks!
– KDMS
Jun 23, 2019 at 12:31