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I have come across the term "industry fixed effects" in some papers in relation to cross sectional regressions in asset pricing. I know what "fixed" regression models are, but not what is meant by "industry fixed"... Can someone explain to me in a clear way what exactly this is?

Thanks for the answers.

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You apply the fixed effects regression (https://en.wikipedia.org/wiki/Fixed_effects_model) model with industry specific individual effects. Essentially add industry specific constant terms (/dummies) to a regression model. In the context of a cross-sectional asset pricing regression this intuitively captures the mean return of all stocks in the same industry. The other betas will then represent sensitivities of a stock return to factors such as market return or value factor controlling for the mean return of all stocks in the relevant industry. There are different industry classifications of stocks, you can find them online.

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