I am a bit of a beginner when it comes to stata, I am using the program to create a fixed effects model to study the impact of firm performance on executive compensation.

I am measuring firm performance using ROA and stock return. When I run the regression using ROA I get the sort of coefficients I would expect but when I run the same regression but with market return instead of ROA all my coefficients become insignificant. Does anyone know why this might be happening?