Dear Statalist members
I am running a regression with Log stock returns on 1st quarter of 2020 as my dependent variable;
Code:
Ln (Stock price on 31-03-2020/ Stock price on 01-01-2020)
and industries classified into 48 groups (Fama French-48) as my independent variables. My intention is to check whether stock returns varied among industries during the outbreak of Corona(which is obvious logically). Since it is advised to cluster the standard errors at the aggregate level, I ran the following code with clustering at the industry level and I am attaching a subset of my results

Code:
reg quart_ret i.ff48,vce(cluster ff48)
Code:
. reg quart_ret i.ff48,vce(cluster ff48) 

Linear regression                                      Number of obs =    1924
                                                       F(  0,    29) =       .
                                                       Prob > F      =       .
                                                       R-squared     =  0.0586
                                                       Root MSE      =  .30878

                                  (Std. Err. adjusted for 30 clusters in ff48)
------------------------------------------------------------------------------
             |               Robust
   quart_ret |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        ff48 |
          5  |  -.0006924   1.29e-15 -5.4e+11   0.000    -.0006924   -.0006924
          7  |   .0184726   1.29e-15  1.4e+13   0.000     .0184726    .0184726
          8  |  -.0564544   1.29e-15 -4.4e+13   0.000    -.0564544   -.0564544
          9  |  -.0447615   1.29e-15 -3.5e+13   0.000    -.0447615   -.0447615
         10  |   .1450836   1.29e-15  1.1e+14   0.000     .1450836    .1450836
         11  |   .1361723   1.29e-15  1.1e+14   0.000     .1361723    .1361723
         13  |   .1527319   1.43e-15  1.1e+14   0.000     .1527319    .1527319
         14  |   .0309398   1.30e-15  2.4e+13   0.000     .0309398    .0309398
         16  |   .0442209   1.29e-15  3.4e+13   0.000     .0442209    .0442209

As the results indicate all my standard errors are very big, bizarre (+ve &-ve) and F statistic is missing. My intention of clustering by industries is to account for correlation among firms in the same industry but I know that during this period correlation can exist amongst industries also. Hence I tried the following command by clustering at the company level and my results are attached

Code:
 reg quart_ret i.ff48,vce(cluster companyname)

Linear regression                                      Number of obs =    1924
                                                       F( 29,  1923) =    4.70
                                                       Prob > F      =  0.0000
                                                       R-squared     =  0.0586
                                                       Root MSE      =  .30878

                         (Std. Err. adjusted for 1924 clusters in companyname)
------------------------------------------------------------------------------
             |               Robust
   quart_ret |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        ff48 |
          5  |  -.0006924   .0914865    -0.01   0.994    -.1801155    .1787308
          7  |   .0184726   .0776587     0.24   0.812    -.1338315    .1707766
          8  |  -.0564544   .0526913    -1.07   0.284    -.1597924    .0468836
          9  |  -.0447615   .0512153    -0.87   0.382    -.1452049    .0556818
         10  |   .1450836   .0650334     2.23   0.026     .0175402    .2726271
         11  |   .1361723   .0814712     1.67   0.095    -.0236089    .2959536
         13  |   .1527319   .0408991     3.73   0.000     .0725207    .2329432
         14  |   .0309398   .0304394     1.02   0.310    -.0287578    .0906375
         16  |   .0442209   .0357533     1.24   0.216    -.0258985    .1143403
         17  |  -.0232826   .0417664    -0.56   0.577    -.1051948    .0586297
         18  |  -.1212549   .0403227    -3.01   0.003    -.2003357    -.042174
         19  |  -.0859658    .036367    -2.36   0.018    -.1572888   -.0146428
         21  |  -.0131784   .0371308    -0.35   0.723    -.0859993    .059642
Now, which one should I consider for my interpretation? I doubt that the model which cluster at industry level is usable since all p values are significant there. Which one should I use for interpretation purposes? If further clarification is required, I am happy to provide it.

Thanks in advance