Romania Country Risk and Equity Cost Dataset (2015–2025)
Description
This dataset provides quarterly estimates and supporting inputs used to analyze Romania’s equity cost of capital over the period 2015Q1–2025Q4. It is designed to support the empirical analysis presented in the accompanying study on Romania’s equity risk premium and cost of equity within a regional European context. The dataset combines a risk-free rate proxy, a global equity risk premium series, and a country risk premium derived from sovereign credit risk. Sovereign default spreads are inferred from internationally recognized credit ratings and applied consistently using a country risk premium framework. Supplementary variables are included to facilitate interpretation of market structure and institutional frictions, such as liquidity conditions and market depth, but these variables do not enter directly into the computation of discount rates. The quarterly frequency allows examination of time variation in Romania’s implied cost of equity across different market conditions, moving beyond point-in-time estimates. Cross-country benchmarking results reported in the study are anchored to baseline inputs calibrated around 2024 to ensure comparability with regional peers; the quarterly series is used for descriptive and illustrative purposes only and does not alter peer rankings or baseline inference. All variables are constructed using publicly available data from authoritative sources, including sovereign credit rating agencies, central bank and government bond data, and international financial databases. A detailed codebook and readme file are provided to document variable definitions, construction steps, and data sources. The dataset is intended to facilitate transparency, replication, and further research on equity valuation and country risk in emerging and frontier markets.
Files
Steps to reproduce
Obtain the dataset Download the dataset titled “Romania Equity Cost of Capital Dataset (2015–2025)” from the repository. The dataset includes quarterly observations covering 2015Q1–2025Q4, together with a codebook describing all variables. Identify baseline inputs From the dataset, identify the risk-free rate proxy (Rf), the mature-market equity risk premium (ERPbase), and the sovereign default spread for Romania and peer countries. Baseline calibration values correspond to observed inputs around 2024, as documented in the codebook. Compute the country risk premium (CRP) For each country, compute the country risk premium as: CRP = Default Spread × λ where λ is the relative equity-to-bond volatility adjustment factor set to 1.34, following Damodaran’s methodology. Estimate the cost of equity Compute the implied cost of equity using the formula: Ke = Rf + ERPbase + CRP Apply the same Rf and ERPbase across countries to ensure comparability, as described in the paper. Reproduce Table 1 Using the computed values, reconstruct Table 1 by reporting sovereign ratings, default spreads, adjusted CRP values, and implied costs of equity for Romania and the selected peer group. Interpret market structure indicators Use the market structure and investability indicators provided in the dataset (market capitalization, turnover, valuation ratios, foreign ownership, and index classification) to reproduce the descriptive benchmarking presented in Table 2. These variables are used for interpretation only and do not enter directly into the cost-of-equity calculation. Examine time variation Analyze the quarterly series for Romania to illustrate the evolution of the implied cost of equity over time. Where underlying inputs are reported at lower frequency (e.g., sovereign ratings), the prevailing value is treated as constant within the corresponding periods, consistent with standard practice in applied valuation. Replication scope Replication results should match the reported baseline estimates and relative peer rankings. Minor numerical differences may arise due to rounding conventions or updates in publicly available source data after the study period.
Institutions
- Universita Ca' Foscari Dipartimento di Management