Regression for Financial Applications

I'm looking to research the use of regression for financial applications.
Say for example to determine the relation between economic indicators and returns for certain asset classes.
So far I've tried using Excel and it's built in data analysis package to run regression R squared and t-tests for explanatory power of each variable.
Does anyone have any good/advanced resources or courses to recommend or any general comments on this subject?
I'm also keen to explore the usage of R. Is R good for such applications and are there financial packages for R?