I just conducted a Fama-Macbeth analysis to estimate the risk premia of Fama/French.
In short, I estimated the betas on a company-individual basis first and then conducted a cross-section regression resulting in risk premia (t=1 to t=235). Subsequently a simple average of the risk premia was calculated.
Now I'm wondering if it's technically correct/allowed to calculate an average of the R2 of regression (t=1 to t=235) and make a statement about the "overall" R2 of the multifactor modell in comparison to the simple CAPM I calculated earlier.
Essentially I just want to say adding the factors (should've) increased the R2 of the model. Just not sure if I can do it with the Fama-Macbeth regressions or if I have to do a normal FF three-factor regression as well.