Hi,I want to use Fama and French's 3 factor model. I retrieved the monthly data from French's data library ( http://mba.tuck.dartmouth.edu/pages/fac ... brary.html). I am attaching the data. He doesn't mention anything about these returns whether they are annualized or continuously compounded or anything related to the frequency of return. I have stock returns that are continuously compounded and I need to transform the Fama and French rates to continuously compounded rates. Can someone help me to figure out the frequency of data reported by French and how to make them continuously compoundedregards

At the beginning of your data it's a monthly return from 1926/07 to 2010/06 while at the end it's the annual return from 1927 to 2009. The measure the excess of the market (market-Rf to be precise: Rm-Rf, the excess return on the market, is the value-weight return on all NYSE, AMEX, and NASDAQ stocks (from CRSP) minus the one-month Treasury bill rate (from Ibbotson Associates).) above the return of a Tbill of maturity 1 month observed at the beginig of the month (Rf).here is the original paperFama French paper 1993It's explained in section 2.2 ("the returns to be explained").

Thanks but I already know this. The question is mainly about whether the returns are annualized or not and how to transform them to continuous compounding returns. Should I take the ln(1+HML) for example to make the return of HML continuously compounded.