Romania FMDI Equity Risk Premium Dataset, 2015–2025
Description
This dataset provides a cleaned monthly research panel for the study of Romania’s equity risk premium and cost of equity from January 2015 to December 2025. The file supports a Financial Market Diagnostic Instrument (FMDI) framework that decomposes Romania’s required equity return into sovereign country risk, liquidity risk, uncertainty/volatility risk, and institutional-quality risk. The dataset is designed for paper replication and submission purposes. It includes a simplified monthly analysis sheet with the core variables used in the empirical study, including the risk-free rate, global equity risk premium, country risk premium, liquidity premium, uncertainty/volatility premium, institutional-quality premium, CAPM cost of equity, CAPM plus country-risk-premium cost of equity, full FMDI cost of equity, valuation anchor, valuation wedge, realized return, and realized excess return. The dataset also contains compact paper-ready tables summarizing model comparison, regional benchmark interpretation, and robustness logic. Romania is the focal case, while Serbia and Hungary are used only as regional benchmarks to contextualize Romania’s position within emerging European equity markets. The dataset is intended to support a diagnostic valuation analysis rather than a structural asset-pricing model. A variable guide is included to clarify definitions, construction logic, and interpretation of the main series. The workbook was simplified to remove dense raw-data and intermediate-calculation tabs, retaining only the information needed for transparency, replication, and direct use in the manuscript.
Files
Steps to reproduce
Open the Excel workbook and use the Monthly_Analysis sheet as the main replication dataset. The dataset covers monthly observations for Romania from January 2015 to December 2025. Each row represents one month and contains the variables required to reconstruct the cost-of-equity estimates and valuation comparison used in the paper. The replication begins by reconstructing the three model-based cost-of-equity measures. The CAPM cost of equity is obtained by adding the risk-free rate and the beta-adjusted global equity risk premium. The CAPM plus country-risk-premium specification adds the country risk premium to the CAPM estimate. The full FMDI cost of equity adds the country risk premium, liquidity premium, uncertainty/volatility premium, and institutional-quality premium to the CAPM baseline. The valuation anchor is used as the external benchmark for assessing the model estimates. It follows the earnings-yield or inverse-price-earnings logic and is compared with the model-implied required returns. The valuation wedge is computed as the difference between the valuation anchor and the CAPM plus country-risk-premium cost of equity. This wedge represents the non-sovereign valuation gap that the FMDI components are intended to explain. Model performance can be reproduced using the metrics reported in the Paper_Tables sheet, including adjusted R-squared, root mean square error, mean absolute error, and directional accuracy. The FMDI component series can then be used to interpret the contribution of sovereign risk, liquidity risk, uncertainty/volatility risk, and institutional-quality risk to Romania’s required equity return over time. Serbia and Hungary are included only as regional benchmarks for interpretation. Romania remains the focal empirical case, while the benchmark comparison is used to contextualize Romania’s position within emerging European equity markets. Variable definitions, construction logic, and interpretation notes are provided in the Variable_Guide sheet.
Institutions
- Ca' Foscari University of VeniceVeneto, Venice