I have been advised by one of my professors to use UK treasury bills for a risk free rate when calculating expected returns for stocks.
I wanted to know whether I should be using 1 month T-Bills or 3 month T-bills.
Which is better to use and why?
My lecturer mentioned that the risk free rates I download will be annualized percent figures (although % notation may or may not be there), so I would need to convert them to daily rates before I can you use them in regressions. Does anyone know where I can obtain this data? I found the 1 month and 3 month T-bills data on the Bank of England website. I need to know how to get the daily data for these T-bills.