Dear all,

I have some questions about the package asreg, thanks Attaullah Shah for sharing this in advance.

First, I have tried to run a simple CAPM, using monthly excess returns (exret) as independent variable and market risk free return (mktrf) as dependent variable.

Code:
asreg exret mktrf, fmb
and I get mktrf ommited from regression.

I have read one post explained by Attaullah Shah that the variables need to vary cross sectionally.

market risk free returns are the same every month, so I understand why my variable has been dropped. However, I though FM was once a standard procedure for running CAPM...so how do others manage to do this?

Thanks.