Argentina FMVM Dataset (2023–2025): Decomposition of the Milei Shock across Sovereign, Liquidity, Behavioral, and Institutional Channels
Description
This dataset accompanies the paper “What Exactly Rerated in Argentina? Decomposing the Milei Shock across Sovereign, Liquidity, Behavioral, and Institutional Channels (2023–2025)” and provides the empirical foundation for its multi-premium decomposition analysis. The dataset captures the monthly evolution of Argentina’s equity-market valuation during the Milei administration, using the Frontier Market Valuation Model (FMVM) framework. The FMVM expands upon Damodaran’s country-risk methodology by decomposing the total equity-risk premium (ERP) into four additive channels: Sovereign Risk Premium (CRP) — derived from Damodaran’s ex-post country spreads. Liquidity Premium (LP) — estimated from turnover velocity and transaction-cost indicators. Behavioral Premium (BP) — extracted from volatility and sentiment data. Institutional Quality Premium (IQP) — modeled from governance, policy, and regulatory-stability factors with event-based decay adjustments. The dataset integrates these FMVM components with benchmark variables such as ERP_CAPM, ERP_CAPM_CRP, ERP_FMVM, and valuation anchors (Forward_P/E and Inverse_P/E) to provide a complete risk-return decomposition for Argentina’s stock market between January 2023 and September 2025. Monthly Forward P/E ratios are sourced from worldperatio.com (ARGT ETF proxy, Oct 2025 value = 12.41), while sovereign spreads follow Damodaran’s January 2024–2025 updates. All values are expressed in percentage points (pp) and consistent with financial-economics conventions. The dataset enables replication of the paper’s main results, including the identification of how post-election market rerating was driven primarily by the compression of sovereign and institutional premia, while liquidity and behavioral factors showed transient volatility. Researchers can use this file to extend FMVM analysis to other frontier markets or to test policy-risk sensitivity in emerging economies.
Files
Steps to reproduce
Data Sources • Sovereign Risk (CRP): Derived from Damodaran’s Country Default Spreads and Risk Premiums (January 2024 and January 2025 updates) using Argentina’s rating and default spread data. • Forward P/E Ratios: Collected monthly from worldperatio.com (ARGT ETF proxy for the Argentine stock market). • Liquidity (LP): Computed from turnover velocity and volume-based liquidity indicators published by BYMA and BCRA. • Behavioral (BP): Estimated using volatility and sentiment metrics aligned with FMVM methodology. • Institutional Quality (IQP): Modeled from governance indicators and event-based credibility shocks (e.g., DNU 70/2023, IMF EFF approval, BCRA Communication A-8226). FMVM Construction • For each month, compute: FMVM Premium = CRP + LP + BP + IQP • Derive model-implied equity premia: o ERP_CAPM = baseline U.S. equity risk premium (Damodaran) o ERP_CAPM_CRP = ERP_CAPM + CRP o ERP_FMVM = ERP_CAPM + FMVM_Prem • Calculate valuation anchors: o Forward_PE = market P/E ratio (ARGT ETF proxy). o Inverse_PE = 100 / Forward_PE. Validation Checks • Confirm all arithmetic identities hold: o FMVM_Prem = CRP + LP + BP + IQP o ERP_CAPM_CRP = ERP_CAPM + CRP o ERP_FMVM = ERP_CAPM + FMVM_Prem o Forward_PE × Inverse_PE = 100. • Verify annual averages of CRP match Damodaran (2023 = 20.35%, 2024 = 16.02%, 2025 = 13.58%). Event-Based Adjustment of IQP • Apply event impulses with exponential decay: Δe(t) = se · δe · e⁻ˡᵃᵐᵇᵈᵃᵉ(t − te), λe = He / ln(2) where each event’s sign, amplitude, and half-life are specified in the dataset’s IQP_Events table. • Re-center IQP yearly so that its annual mean equals the WGI-based baseline (0.22 pp). Final Assembly • Integrate all components into the master spreadsheet Arg_FRL.xlsx, containing: o CRP, LP, BP, IQP, FMVM_Prem, ERP_CAPM, ERP_CAPM_CRP, ERP_FMVM, Forward_PE, Inverse_PE. • All monetary values expressed in percentage points (pp); P/E ratios are dimensionless. • Monthly coverage: Jan 2023 – Sep 2025. Verification • A secondary “Audit” tab (optional) confirms all identities evaluate to zero difference within ±1e−9 tolerance. • Cross-checked with worldperatio.com values for October 2025 (P/E = 12.41) to ensure external consistency.
Institutions
- Universita Ca' Foscari