31 The biggest source of the difference is one month (January 1999). In that month, Aracruz had a return of 133% in the Sao Paulo exchange while the ADR dropped by 9.67% in the same month. The disparity in returns can be attributed to a steep devaluation in the Brazilian Real in that month.

represent the broad spectrum of Brazilian equities. While the S&P 500 is a broader index, the returns on the ADR have little relevance to a large number of non-US investors who bought the local listing.

Deutsche Bank does not have an ADR listed in the United States but we can regress return on Deutsche against a multitude of indices. Table 4.4 presents comparisons of the results of the regressions of returns on Deutsche against three indices - a German equity index (DAX), an index of large European companies (FTSE Euro 300) and a global equity index (Morgan Stanley Capital Index (MSCI)).

Table 4.4: Deutsche Bank Risk Parameters: Index Effect
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