Romania Equity Risk Premium Dataset, 2015–2025
Description
This dataset provides the monthly data used to decompose Romania’s equity risk premium over the period 2015–2025. It supports the study titled “Decomposing Equity Risk Premia in Emerging European Equity Markets: Monthly Evidence from Romania with Serbian and Hungarian Benchmarks.” The dataset is organized to implement a Financial Market Diagnostic Instrument (FMDI), which separates Romania’s required equity return into global market exposure, sovereign risk, liquidity risk, behavioral or uncertainty risk, and institutional-quality premia. The file includes monthly observations used to construct the main FMDI components: the risk-free benchmark, global equity risk premium, rolling global beta, sovereign country-risk premium, liquidity premium, behavioral or uncertainty premium, institutional-quality premium, total implied equity risk premium, and final cost-of-equity estimates. It also supports comparison with benchmark specifications based on CAPM and CAPM plus country risk premium. Where applicable, annual governance indicators are aligned to monthly frequency, while market-based indicators are constructed or aggregated at monthly level. The dataset is intended for replication, transparency, and further research on equity valuation in emerging European equity markets. It may be useful for researchers studying country risk, liquidity frictions, cost of equity, valuation anchors, emerging-market segmentation, and comparative risk-premium decomposition in Central and Eastern Europe.
Files
Steps to reproduce
Open the Excel file Romania_Monthly.xlsx and use the monthly observations for 2015–2025. The dataset is structured to reproduce the Financial Market Diagnostic Instrument (FMDI) decomposition of Romania’s equity risk premium. First, identify the baseline financial inputs: the risk-free rate, global equity risk premium, Romania’s rolling global beta, sovereign country-risk premium, liquidity premium, behavioral or uncertainty premium, and institutional-quality premium. Annual institutional indicators are carried forward to monthly frequency, while market-based variables are measured or aggregated at monthly frequency. To reproduce the main estimates, calculate the CAPM benchmark as the risk-free rate plus beta-adjusted global equity risk premium. Then calculate the CAPM + CRP benchmark by adding the sovereign country-risk premium. Finally, calculate the full FMDI cost of equity by adding the liquidity, behavioral, and institutional-quality premia to the CAPM + CRP benchmark. The implied equity risk premium is obtained by subtracting the risk-free rate from the final cost-of-equity estimate. The resulting monthly series can be averaged across the full sample or across structural periods to reproduce the reported cost-of-equity and equity-risk-premium decompositions. For robustness, users may compare the full FMDI estimates with the CAPM and CAPM + CRP benchmarks and evaluate the series against valuation anchors such as earnings yields or inverse price-earnings ratios.
Institutions
- Ca' Foscari University of VeniceVeneto, Venice