Structural Reforms and Equity Risk in Morocco (2015–2024): A Multi-Premium Valuation Dataset
Description
This dataset contains the complete monthly data (2015–2024) used to calibrate the Frontier Market Valuation Model (FMVM) for Morocco. It decomposes the equity risk premium into four additive components—sovereign (CRP), liquidity (LP), behavioral (BP), and institutional quality (IQP)—and provides valuation anchors used to validate the model against observed market multiples. The data enable direct replication of the paper “Structural Reforms and Equity Risk in Morocco: A Multi-Premium Valuation Approach,” and comparison with the Vietnam FMVM dataset. The FMVM framework extends CAPM and CAPM + CRP models by incorporating market microstructure, sentiment, and governance channels that influence required returns in reform-sensitive markets.
Files
Steps to reproduce
Download the dataset Obtain Morocco_FMVM_data_UPDATED.xlsx from this repository. The file contains a single sheet (Monthly_Data) with 120 monthly observations (Jan 2015 – Dec 2024). Open the dataset Use Excel, R, Python, Stata, or EViews. Each column is numeric and expressed in percent per annum unless noted. Verify variable mapping CRP: Damodaran (2025) Country Risk Premiums – annual values carried monthly. LP: Turnover-based liquidity premium derived from World Bank/WFE data. BP: Behavioral premium calibrated by structural regime (EGARCH-in-Mean placeholder). IQP: Institutional quality premium computed from WGI percentiles (GE, CC). FMVM_Premium = CRP + LP + BP + IQP. ERP_CAPM = 5 %, ERP_CAPM_CRP = ERP_CAPM + CRP, ERP_FMVM = ERP_CAPM + FMVM_Premium. Forward_PE: 2024 observed (18.49×, MSCI Morocco); 2015–2023 annual anchors. Inverse_PE = 100 / Forward_PE. Replicate FMVM decomposition Compute the total FMVM equity-risk premium and, if desired, the full cost of equity: rₑ = Rf + β·GERP + CRP + LP + BP + IQP, using Rf = 4 %, GERP = 5 %, β = 1. Validation Plot ERP_FMVM against Inverse_PE to verify alignment of modelled and valuation-implied yields. Average components by structural period (2015–16, 2017–19, 2020–21, 2022–23, 2024) to reproduce Table 5–7-style summaries. Confirm that the FMVM premium compresses from ≈ 8.5 % (2015–16) to ≈ 5 % (2024). Cross-country comparison (optional) Apply the same procedure to Vietnam, Egypt, or Tunisia datasets using identical baselines (Rf = 4 %, GERP = 5 %, β = 1) for like-for-like analysis. Following these steps reproduces all figures and tables for the Morocco application of the Frontier Market Valuation Model (FMVM)
Institutions
- Universita Ca' Foscari