Replication package for: Structural Shocks, Governance, and the Cost of Equity in Vietnam
Description
This dataset accompanies the paper “Structural Shocks, Governance, and the Cost of Equity in Vietnam: Evidence from a Multi-Premium Valuation” and contains the empirical inputs used to calibrate and validate the Frontier Market Valuation Model (FMVM) for Vietnam. The FMVM decomposes the equity risk premium into four additive components—sovereign (CRP), liquidity (LP), behavioral (BP), and institutional (IQP)—and benchmarks them against valuation anchors such as the forward inverse P/E and earnings yield. The dataset is organized into three Excel workbooks: Vietnam_FMVM_Structural_Periods_Summary.xlsx Provides quarterly averages of CRP, LP, BP, and IQP for 2015Q1–2024Q4, grouped into five structural regimes: (i) U.S. liftoff & dong adjustments (2015–2016), (ii) reform & FDI tailwind (2017–2019), (iii) COVID-19 shock & retail boom (2020–2021), (iv) bond crackdown & anti-corruption cycle (2022–2023), and (v) early recovery & easing (2024). These data underpin Table 5 in the paper. Vietnam_FMVM_data.xlsx Contains monthly series for the VN-Index (USD-deflated), CRP, LP, BP, IQP, the FMVM premium, and the forward inverse P/E anchor. While estimation is performed at the quarterly frequency, monthly data are provided for visualization and transparency. These inputs reproduce Figure 2 (co-movement of FMVM with valuation anchors) and the regression tests in Tables 6 and 6b. FMVM_VNM_Comparison.xlsx Reports 2015–2024 averages of CRP, LP, BP, IQP, and the implied FMVM cost of equity for Vietnam and three regional peers: Thailand, the Philippines, and Bangladesh. Baselines are fixed (Rf = 4.0%, GERP = 5.0%, β = 1.0) to ensure like-for-like comparability. These data support the cross-country benchmarking in Table 7. All series are expressed in percent per annum unless noted; BP is stored to four decimals for visibility in low-volatility regimes, while totals are computed at full precision. The anchor inverse P/E series is sourced from VNDirect and Investing.com, and sovereign spreads follow Damodaran’s annual country risk premium tables. Liquidity is proxied by turnover velocity (HOSE, WFE, World Bank), and institutional quality is mapped from Worldwide Governance Indicators (Government Effectiveness and Control of Corruption). Together, these files enable full replication of the empirical analysis in Section 4 of the paper without additional preprocessing. Researchers and policymakers can use the dataset to study how sovereign, liquidity, behavioral, and institutional risks jointly shape Vietnam’s cost of equity, and to benchmark Vietnam against regional peers facing similar structural dynamics.
Files
Steps to reproduce
The three Excel workbooks in this dataset provide all inputs required to reproduce the empirical results in Section 4 of “Structural Shocks, Governance, and the Cost of Equity in Vietnam: Evidence from a Multi-Premium Valuation.” Table 5 (Structural Regimes) Open Vietnam_FMVM_Structural_Periods_Summary.xlsx. Use the “Sheet1” tab to read quarterly averages of CRP, LP, BP, and IQP for 2015Q1–2024Q4. Grouped regimes (2015–2016, 2017–2019, 2020–2021, 2022–2023, 2024) reproduce the averages reported in Table 5. The “Events_Notes” tab provides the qualitative labels for each regime. Figure 2 and Tables 6–6b (Model Validation) Open Vietnam_FMVM_data.xlsx and load the “Monthly_Data” sheet. Columns include monthly CRP, LP, BP, IQP, FMVM premium, CAPM CoE, CAPM+CRP CoE, FMVM CoE, and the forward inverse P/E anchor. Aggregate monthly excess returns to the quarterly frequency (log-sum) to estimate regressions. Run regressions of model CoE on valuation anchors (inverse P/E, earnings yield) to obtain R², RMSE, and correlation values (Table 6). Hold out 2015Q1–2021Q4 as the training window, estimate coefficients, then predict 2022Q1–2024Q4 anchors. Compute RMSE and MAE on this test sample to reproduce Table 6b. Use the monthly companions to plot the co-movement of models with the anchor, as in Figure 2. Table 7 (Cross-Country Comparison) Open FMVM_VNM_Comparison.xlsx. The “SUMMARY” sheet reports 2015–2024 averages for Vietnam, Thailand, the Philippines, and Bangladesh under fixed baselines (Rf = 4.0%, GERP = 5.0%, β = 1.0). Columns include mean CRP, LP, BP, IQP, and FMVM CoE. These averages map directly into Table 7 of the paper. Conventions All series are expressed in percent per annum. BP is stored at four decimals for visibility in low-volatility regimes; totals are computed at full precision. Anchors (forward inverse P/E, earnings yield) are sourced from VNDirect and Investing.com; CRP follows Damodaran’s annual tables; LP is proxied by turnover velocity (HOSE, WFE, World Bank); IQP is mapped from WGI (Government Effectiveness, Control of Corruption). Following these steps reproduces the full set of empirical results in Section 4—Table 5, Figure 2, Tables 6–6b, and Table 7—without additional preprocessing or external data.
Institutions
- Universita Ca' Foscari