I'm running a valuation of a multinational company listed on the AEX (Amsterdam Eurononext). The company has operations in Europe (70%), US (25%) and other (5%). I have historic stock data until from 2000.
In order to determine a risk profile I ran a regression of its returns against the AEX. As expected this yielded a beta <1.0 and an R-squared of < 0.5.
What would be a better index to run my regression against? Data does need to run back until at least 2000.