# Comparing effect sizes across univariate regressions with identical independent variable but different dependent variables

I have done several univariate regressions with investor sentiment as independent variable (identical across regressions) and different sector portfolio returns as dependent variable.

Can I infer that the effect sizes are larger/smaller by just looking at the regression coefficients or do I have to perform tests to evaluate if there are significant differences?

N.B. the coefficients are standardized.

Thanks!

No you cannot. As a human being, you can make a judgment that a statistically significant $\beta$ of 0.9 is most likely greater than a non-statistically significant $\beta$ of 0.1. However, your analysis does not permit you to make this conclusion, as you would have to compare both $\beta's$ within the same model. You don't know if the difference between .1 and .9 is statistically different from zero.