How does Yahoo Finance calculate Beta for stocks quotes in foreign markets? Does it consider the volatility against local markets indexes or US S&P 500?
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A "correct" way would be to use each country's index, such as DAX for German stocks or CAC-40 for French stocks; and to regress total return (including dividends) in local currency (i.e. not USD-denominated return of an ADR). I took a quick look at Yahoo Finance and they don't seem to document what they do.
Dimitri Vulis
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