create a variable which equals to Scheduled Surprise, and then run a regression in which Y is Return, the first X variable is Surprise, and the second X variable is Scheduled*Surprise. The results are presented as below: surprise Scheduled.surprise Constant Observations R-squared Adjusted R-squared Residual Standard Error F-statistic Note Return Regression Model 4 -5.96170*** (1.06541) 3.88775* (1.61175) 0.14796 (0.07837) 171 0.1661 0.1561 0.9758 (df 168) 16.73 (df 2; 168)*** *p