Regress with constant and one dummy variable

Hello everyone !

I am trying to perform a regression on stocks returns, using the following model :

Rt = alpha + beta*Rm + delta*bool_ethic

With Rt : return at date t alpha : abnormal return beta : market sensitivity Rm : Market returns bool_ethic : 0 if the company is ethic and 1 if it's non-ethic ( ex: tobacco, gambling, etc...)

I use the regress function but I always find delta = 0.

Could you help me figure it out ?

Thank you