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I have run Fama MacBeth cross section regression of of Excess Return of stocks on Idiosyncratic volatility, the log of market capitalization, book to equity ratio and Beta. I'm getting all significant results. My idiosyncratic volatility is positive which is correct but i am not getting the desired sign of log market capitalization (Positive sign), BM ratio (negative) and Beta (negative). my question is that how to explain these results? Is my results are correct or can i explain them some another way?

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  • $\begingroup$ Which capital market / country are you looking at? What is the specific time-horizon? Do you use one-month ahead stock returns as dependent variable in local currency or US Dollar? Please clarify as many empirical results are sensitive to specific markets and times. $\endgroup$ – skoestlmeier May 18 at 18:31
  • $\begingroup$ Dear sir, Thanks for your response. I have taken data of the constituents of BSE S&P 500 Index in India during the period July 2005 to June 2019. I have taken the Excess return of t period as dependent variable and also all the independent variables of t period in local currency. $\endgroup$ – Priya May 19 at 4:35
  • $\begingroup$ I found this site (faculty.iima.ac.in/~iffm/Indian-Fama-French-Momentum/…) for Indian Fama/French factor returns. Without any analysis, at first glance, the HML and SMB premium have long periods of neg. performance, so your results could (!) be right. Please check if your results are in line with the findings on the website. $\endgroup$ – skoestlmeier May 20 at 12:02
  • $\begingroup$ thank you so much @Skoestlmeier sir for your help. $\endgroup$ – Priya May 21 at 11:15

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