I am working on this project where I am estimating FF three factors for some European countries. So I collected daily prices in US dollars for these countries since I will be using FF three factors from Kenneth website. I made sure that countries in my sample are included in listed of countries in Fama and French's list of countries. Now I have some questions:
- If my data is daily, which Fama and French three factors should I use from Kenneth's website: Fama/French Global 3 Factors [Daily], Fama/French Global ex US 3 Factors [Daily], or Fama/French European 3 Factors [Daily]? and what is the difference between them. I am assuming Fama/French European 3 Factors [Daily] since it only includes European countries but keep in mind that although companies are European but I collected prices in U.S. dollar, not in Euros.
- Do I use the same factors file for all the European countries? In other words, If my sample were Spain and Finland, would I use the same Mkt-RF SMB HML and RF for both countries and the only difference would be on the daily return?
- If I am not using FF market risk premium, Mkt-RF, and would like to construct my own, do I use U.S. risk-free rate or the European country's risk-free rate? It makes no sense to use U.S. risk free rate but if not mistaking, FF use one month T-bill rate.
Thank you in advance for your help