The local risk-free rate is obtained by adding the country risk premium (the mid rate spreads between the US and the countries’ 10 year senior Credit Default Swaps) to the global risk-free rate (10-year US Treasury bond).
The MSCI World index is used as a proxy for the global market portfolio. The returns on the market index in each country are used as a proxy for the returns on the market portfolio in this country. The indices used were the MSCI Egypt, MSCI Israel, MSCI Morocco and MSCI Turkey.
