Romania Equity Risk Premium Dataset, 2015–2025

This dataset provides the monthly data used to decompose Romania’s equity risk premium over the period 2015–2025. It supports the study titled “Decomposing Equity Risk Premia in Emerging European Equity Markets: Monthly Evidence from Romania with Serbian and Hungarian Benchmarks.” The dataset is organized to implement a Financial Market Diagnostic Instrument (FMDI), which separates Romania’s required equity return into global market exposure, sovereign risk, liquidity risk, behavioral or uncertainty risk, and institutional-quality premia.

The file includes monthly observations used to construct the main FMDI components: the risk-free benchmark, global equity risk premium, rolling global beta, sovereign country-risk premium, liquidity premium, behavioral or uncertainty premium, institutional-quality premium, total implied equity risk premium, and final cost-of-equity estimates. It also supports comparison with benchmark specifications based on CAPM and CAPM plus country risk premium. Where applicable, annual governance indicators are aligned to monthly frequency, while market-based indicators are constructed or aggregated at monthly level.

The dataset is intended for replication, transparency, and further research on equity valuation in emerging European equity markets. It may be useful for researchers studying country risk, liquidity frictions, cost of equity, valuation anchors, emerging-market segmentation, and comparative risk-premium decomposition in Central and Eastern Europe.