We have N companies. For our research, we aim to run monthly cross$-$sectional regression, in our regression, we regress excess stock returns on the Tax planning measure, and other control variables. Our tax planning measure is Cash effective tax rate $($CETR$),$where lower the rate means aggressive tax planner the company is$.$ Then we extract coefficients from monthly regression for Tax planning measure $($Monthly betas for tax planning$)$ and regress them on Fama French five factors in step $2$ as time series regression to analyse if Tax planning pays premia.

If we want to analyse the how much premia changes, with one standard deviation change. From where $($which regression$)$ we should use the betas?