Country Risk and Cost of Equity Dataset for Romania (with Serbia and Hungary Benchmarks), 2015–2024

This dataset contains the quarterly implementation of the Frontier Market Valuation Model (FMVM) for Romania over the period 2015–2024, together with benchmark FMVM series for Serbia and Hungary. The FMVM decomposes the equity risk premium into four additive components: Country Risk Premium (CRP), Liquidity Premium (LP), Behavioral Premium (BP), and Institutional Quality Premium (IQP). These components are combined with global market factors to compute a quarterly FMVM-implied cost of equity for each country.

The Romania_FMVM_Quart.xlsx file provides the complete quarter-by-quarter dataset for Romania, including all FMVM inputs (Rf, GERP, CRP, LP, BP, IQP) and the resulting FMVM cost of equity. It captures Romania’s transition from post-2015 stabilization to the pre-COVID period, the COVID-19 shock, and the subsequent energy/Ukraine crisis, allowing the analysis of structural changes in risk pricing.

The Romania_FMVM_Structural_Changes.xlsx file summarizes FMVM component averages across four structural periods: (1) 2015–2017 stabilization, (2) 2018–2019 FTSE preparation, (3) 2020–2021 COVID shock, and (4) 2022–2024 energy and geopolitical tensions. These aggregates allow researchers to study how sovereign, liquidity, behavioral, and institutional risks evolve under different macro-financial regimes.

The FMVM_Compare_Romania_Serbia_Hungary.xlsx file provides a cross-country comparison dataset. Serbia represents a higher-risk frontier benchmark with elevated liquidity and institutional premia, while Hungary represents a more stable EU emerging-market benchmark with lower CRP and LP relative to Romania. This structure enables multi-country FMVM analysis and highlights Romania’s intermediate position between emerging and frontier market characteristics.

Together, these three files offer a transparent and replicable data foundation for research on country risk, cost of equity estimation, market segmentation, and comparative valuation in Central and Eastern Europe. The dataset is designed for academic publication, policy analysis, and applied finance research requiring multi-premium risk decomposition beyond traditional CAPM or sovereign-spread models.