Replication package for: Structural Shocks, Governance, and the Cost of Equity in Vietnam

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.