Hi,

Suppose there is a new trading strategy, let’s say long on stocks with high R&D and short stocks with low R&D.

What is the difference between A) versus B)

A) running a fama-macbeth regression as in

http://www.wrds.us/index.php/repository/view/fama_mcbeth_regression_in_sas

B) an three factor regression on the fama-french three factors to test if there is a significant alpha, as in:

https://wrds-web.wharton.upenn.edu/wrds/research/applications/port/governance/

proc reg ;

where &where;

model ret_diff = mktrf smb hml umd;

quit ;