Question: According to the case: Multifactor Models by Malcolm P. Baker and using the S&P as the regressor and subtracting monthly risk-free rate to calculate the

According to the case: "Multifactor Models" by Malcolm P. Baker and using the S&P as the regressor and subtracting monthly risk-free rate to calculate the monthly market premium, how do you standardize industry returns to include them as a factor in the analysis? Please only answer if you have access to this case and/or are familiar with the case.

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