What should market risk premium, risk free rate and beta be based on$?$

For example, I am a equity fund, investing in stocks in Stock exchange A and looking to invest in an undervalued industry in country A and stock listed in Stock exchange A$.$ However, there is one investment i am trying to get the required rate of return for. That stock is in more than one exchange, Stock exchange A and B$.$ Its operations are global, including in the country of Stock exchange A and B$.$ What should market risk premium, risk free rate and beta be based on$?$ Would they be on A or B$\text{'}$s market?