I am trying to make a regression on the following model:
Y = β0 + β1 X1 + β2 X2 + β3 X3 + β4 X4 error
I am studying the effect of X1 on Y and added X2, X3 and X4.
The data I have is cross sectional data (70 observations) and the variables are:
Y is the Market-to-book value X1 is Social response performance (a score given out of 100) X2 is total assets X3 is debt-to-equity ration X4 is the revenue growth
Each stock has 2 observations, one for 2020 and the other for 2019 (I don't think this is relevant because it is not time-series)
The r-squared i get is very low although this model has proven a very strong r-squared in research. Am I doing something wrong?
Is it the values are very far from each other?
For example the total assets values are above tens and hundreds of millions. For some observation it is (100500300 -51000200 - 900000000 .. etc). On the other hand the social responsible scores are all under 100 and the revenue growth values are always under 0.5.
I appreciate the feedback.