I am new to this forum, but I am trying to become more and more specified in statistics for my Master Thesis (Erasmus University Rotterdam, Netherlands)

Enough intro, my problem is the regression of my sample. I calculated Cumulative Abnormal Returns for 5 event windows, and I want to use SPSS to find if some variables (8 in total) influence the CARs.

I tried a normal linear regression, but also a Stepwise regression. The problem is that my significance values are way to low for this. After the performance of a stepwise regression, zero or maybe one variable stays in the results.

With this little information, does anyone of you guys have any tips or diretions to look into?

If additional data is needen, please ask me!

Thanks in advance!