Monthly average rate of discount, 3 month Treasury bills, Sterling Vs 1 Month 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.
Answer to your first question
Take a look at what Aswath Damadoran uses for his empirical work. He's been teaching applied corporate finance for a little while at NYU. These are his slides.

Answer to your second question
If you have access to any of the following, you should have no problem getting access to any economic and financial time series.


Datastream
Bloomberg


Also try FRED database