I am trying to run a study of mutual fund performance where I divide the sample in expansions/recessions through a binary dummy variable. (Expansion = 0, Recession = 1)
It is a panel regression with funds and monthly observations of excess returns.

xtset Fund NYear
First I regress excess returns on a multifactor benchmark (4-factor model) for the whole sample, without dummies nor interaction terms. In this regression, I use fixed effects for both time and firms because adjusted R2 goes up and testparm command suggest to reject the null hyphothesis for both time and firm.
Array

regress ExcessReturn MktRF4 SMB4 HML4 MOM4 i.NYear i.Fund
Next, I want to test conditional performance depending on expansion/recession period (dummy) by using interation terms with the factors. I believe this can be measured as follows:

Array

I keep time and firm fixed effects to be consistent when comparing results.

regress ExcessReturn NBERdummy MktRF4 SMB4 HML4 MOM4 MktRF4DUM_NBER SMB4DUM_NBER HML4DUM_NBER MOM4DUM_NBER i.NYear i.Fund
RESULTS:

Alpha (Fixed-Effects Unconditional model, no dummies): -1.751 (-3.98)

Alpha (Fixed-Effects Conditional model, dummies; expansion): -1.751 (-3.81)
Alpha DUM (Fixed-Effects Conditional model, dummies; recession): -0.800 (-9.29)

ISSUE: My interpretacion here would be that alpha during expansions (control group) is -1.751 while alpha DUM indicates the marginal contribution to alpha when dummy equals "1". That's during recession periods so alpha on recession would be -2.511.

However, something does not look right to me. The results for the constant term in the unconditional model (whole sample) should not be the same as the constant term for expansions (dummy = "0") in the conditional model as this only accounts for the 70% of the sample. I would expect it to be around -1.90 or so to account for the more negative alpha during recession too.

Is my interpretation wrong? Do fixed effects play a role affecting the result in an undesirable way that I am not understanding? Do they nullify my interaction terms or dummies? Is my model not correct for doing what I want to achieve (distinguish between expansion and recession)? If so, how can I correct it?