Frontier Market Valuation Model (FMVM) — Bosnia and Herzegovina (Quarterly), 2015–2024
Description
Quarterly dataset used to estimate and validate the Frontier Market Valuation Model (FMVM) for Bosnia and Herzegovina, covering Q1 2015–Q4 2024. The file reports the FMVM’s component risk premia—Country Risk Premium (CRP), Liquidity Premium (LP), Behavioral Premium (BP), and Institutional Quality Premium (IQP)—and the resulting cost of equity. Construction follows: CRP from sovereign USD spread scaled by the equity/bond volatility ratio (sample-average CRP = 6.93%); LP from bid-ask spreads and turnover on SASE/BLSE; BP from a GARCH-in-Mean specification on SASX-10 returns augmented with sentiment/event controls; IQP from standardized WGI and CPI composites. The full FMVM cost of equity is computed as Rf (4.0%) + GERP (5.0%) + CRP + LP + BP + IQP; CAPM and CAPM+CRP baselines are included for comparison. Sources: SASE/BLSE, CEIC, Bloomberg, World Bank WGI, Transparency International. Geographic coverage: Bosnia and Herzegovina; temporal coverage: 2015–2024. See the associated manuscript for methodology and robustness tests.
Files
Steps to reproduce
Scope: Q1-2015–Q4-2024 (40 qtrs); params Rf=4.0, GERP=5.0, β=1.0. Data: SASX-10 (levels/returns); SASE/BLSE bid-ask & turnover; USD sovereign spread; WGI, CPI; consumer confidence, media sentiment; event dummies (political, dividend, January). CRPₜ = Spreadₜ × (σ_eq/σ_bond) using monthly vols (e.g., 24-mo rolling); mean ≈ 6.93. LPₜ = 0.75·BidAskₜ + 0.25·(1/Turnoverₜ); winsorize 1/99; mean ≈ 2.63. BP: GARCH(1,1)-M on SASX-10; include sentiment/events; set BPₜ = λ·σₜ; mean ≈ 1.93. IQP = 15×(Z_CPI + Z_WGI) (quarterized); mean ≈ 1.67. Outputs: CAPM = 9.00; CAPM+CRP = 9.00 + CRPₜ (mean ≈ 15.93); FMVM = 9.00 + CRPₜ + LPₜ + BPₜ + IQPₜ (mean ≈ 22.15). OLS (HC3): FMVM ~ CRP + LP + BP + IQP; expect R² ≈ 0.72, all p < 0.01, N=40. Save Excel columns: Quarter; CRP(%); LP(%); BP(%); IQP(%); CAPM(%); CAPM+CRP(%); FMVM(%).
Institutions
- Universita Ca' Foscari