Turkey FMVM Companion Dataset (Monthly, 2015–2024)
Description
This dataset provides the monthly companion file (Jan-2015 to Dec-2024) used in the study “Credibility Shocks and the Cost of Equity in Turkey: Evidence from a Multi-Premium Valuation Framework.” It contains the inputs and outputs of the Frontier Market Valuation Model (FMVM) for Turkey, expressed at monthly frequency. The file is constructed by time-based linear interpolation of quarterly FMVM estimates originally derived from multiple sources, including Bloomberg and Reuters for market and macroeconomic variables, Borsa Istanbul (BIST) for trading indicators, and international governance datasets such as the World Bank’s Worldwide Governance Indicators (WGI), Transparency International’s Corruption Perceptions Index (CPI), and the PRS Group’s International Country Risk Guide (ICRG). The dataset includes the following variables: Forward P/E and Inverse P/E Earnings Yield Sovereign Risk Premium (CRP) Liquidity Premium (LP) Behavioral Premium (BP) Institutional Quality Premium (IQP) FMVM_Premium (CRP + LP + BP + IQP) ERP_CAPM (fixed at 9.00) ERP_CAPM_CRP (ERP_CAPM + CRP) ERP_FMVM (FMVM_Premium) All series are formatted with two-decimal precision. The monthly file is intended for visualization and consistent dating in figures. Important note: All model calibration and out-of-sample validation in the paper are conducted on quarterly data (2015Q1–2024Q4). This monthly dataset does not alter econometric results and is provided solely as a reproducibility aid for figures and descriptive analysis.
Files
Steps to reproduce
Source data: Quarterly FMVM inputs for Turkey were compiled from multiple providers: Bloomberg and Reuters (market and macroeconomic variables), Borsa Istanbul (BIST) (trading indicators such as bid–ask spreads and turnover), and governance datasets including the World Bank’s Worldwide Governance Indicators (WGI), Transparency International’s Corruption Perceptions Index (CPI), and the PRS Group’s International Country Risk Guide (ICRG). Quarterly construction: Each FMVM component was estimated at quarterly frequency for 2015Q1–2024Q4. CRP was computed using Damodaran’s sovereign spread adjustment, LP combined spreads and turnover (75/25 weight), BP was estimated with a GARCH-in-Mean model on BIST returns, and IQP was based on standardized governance scores. Monthly interpolation: To create the companion dataset, quarterly estimates were expanded to monthly frequency (Jan-2015 to Dec-2024) using time-based linear interpolation. Variables included: Forward P/E, Inverse P/E, Earnings Yield, CRP, LP, BP, IQP, FMVM Premium (sum of components), ERP_CAPM (fixed at 9.00), ERP_CAPM_CRP, and ERP_FMVM. All values are stored to two decimals. Use of dataset: This monthly file is intended only for figure presentation and reproducibility of time-series plots. All econometric estimation and out-of-sample validation in the study are based on the quarterly dataset.
Institutions
- Universita Ca' Foscari