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You can add the factors and perform the regression but be careful while assessing the effect of adding more parameters to your model, event though the basic model power may seem to increase(R-square) but checking the parameters in depth(p-value, t-stat) is always useful.In general, adding more than 5 factors to your model counters your goal. So be careful ...


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Include all the stocks having the data of at least last 5 years. Pick up a general index of your country(the one you want to work with) and get the data for all the stocks listed in that index. Exclude the ones that have less than 5 years of data and proceed with the rest.


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