Dear all,

For our master paper, we need to replicate the Fama and French three factor model. We started with the one factor model to try the different regressions. We are struggling to do certain regressions and afterwards extract the different coefficients.
At the moment, we have 520 variables. We have one dependent variable: MktRF (Fama and French one factor model) and 519 independent variables (companies) with the daily excess returns over 20 years.
We were able to do our loop regression (for our 519 firms: from the variable SOLVAY to ADDECOGROUP), by executing the following command:

foreach x of varlist SOLVAY-ADDECOGROUP{
regress `x' MktRF
}

The problem now is that we need to list all the coefficients of MktRF and _cons and generate these coefficients as 2 different variables called ‘coefficientMktRF’ and ‘coefficient_cons’.

We were able to use the Statsby command, but this command only lists the two coefficients of our last regression (our last firm) and not of our 519 regressions.

Is there anyone who can help us to proceed our master thesis?