Romania FMDI Equity Risk Premium Dataset, 2015–2025

This dataset provides a cleaned monthly research panel for the study of Romania’s equity risk premium and cost of equity from January 2015 to December 2025. The file supports a Financial Market Diagnostic Instrument (FMDI) framework that decomposes Romania’s required equity return into sovereign country risk, liquidity risk, uncertainty/volatility risk, and institutional-quality risk.
The dataset is designed for paper replication and submission purposes. It includes a simplified monthly analysis sheet with the core variables used in the empirical study, including the risk-free rate, global equity risk premium, country risk premium, liquidity premium, uncertainty/volatility premium, institutional-quality premium, CAPM cost of equity, CAPM plus country-risk-premium cost of equity, full FMDI cost of equity, valuation anchor, valuation wedge, realized return, and realized excess return.
The dataset also contains compact paper-ready tables summarizing model comparison, regional benchmark interpretation, and robustness logic. Romania is the focal case, while Serbia and Hungary are used only as regional benchmarks to contextualize Romania’s position within emerging European equity markets. The dataset is intended to support a diagnostic valuation analysis rather than a structural asset-pricing model.
A variable guide is included to clarify definitions, construction logic, and interpretation of the main series. The workbook was simplified to remove dense raw-data and intermediate-calculation tabs, retaining only the information needed for transparency, replication, and direct use in the manuscript.