Background: I am conducting some research on equity returns across Denmark, Finland, Norway and Sweden. The analysis is seen from a Danish investor’s point of view, and therefore I have currency adjusted all return data into DKK.
All data is retreived from Thomson Reuters Eikon.
Question: Right now I am trying to calculate the Fama-French (1993) three factor model (mkt, smb and hml). Should I also currency adjust the data I use as input for computing the SMB and HML factors?