Dear all,

I am currently doing my master thesis and I would really appreciate some help, since I am not so advanced in econometric issues. I am studying the effect of board characteristics on firm performance during COVID and as I have read through some current papers, many of them cluster their standard errors. I am using a US sample of 320 firms, which belong to 7 indstries, based on the 1-digit SIC code. My data is cross-sectional (as per end of 2019) and I examine the stock price reactions during February-March. This is how my OLS regression looks like:
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I used the 6 industry dummies (out of 7 industries) in the regression, but I also though that it would be good to cluster the standard errors by industry. This is my outcome there:
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As I read in the forums here, 7 is too small number for clustering, and I can see that I am missing the F-statistic. Also, the t-statistics are changning a lot. So my question is, how is it appropriate to cluster in this case? Is it possible to cluster by 2-digit instead of 1-digit SIC code, even though my industries as dummies are 6 (i.e. is it possible to cluster by a different number of industries than the control variables for industries)? Or should I cluster by firm? Also, does it make sense to cluster at all in this case?

I would really appreciate your help.