Estonia FMVM Equity Risk Premium Decomposition Dataset (2015–2024)

This dataset provides quarterly estimates of Estonia’s equity risk premium (ERP) and its structural components over the period 2015–2024, constructed using a multi-premium framework based on the Frontier Market Valuation Model (FMVM). The dataset decomposes the ERP into four additive layers—sovereign risk (CRP), liquidity risk (LP), behavioral risk (BP), and institutional-quality risk (IQP)—to identify the distinct channels that influence required returns in a small, open Euro-area market.

The dataset includes three components:
(1) Quarterly FMVM series for Estonia (2015Q1–2024Q4), containing Rf, GERP, CRP, LP, BP, IQP, and the final cost of equity.
(2) Structural-period classification, assigning each quarter to one of four Baltic macro-financial regimes (post-crisis stabilization, AML reforms, COVID-19 shock, energy-security shock).
(3) Baltic comparison panel (Estonia, Latvia, Lithuania), enabling cross-country benchmarking of sovereign, liquidity, behavioral, and institutional premia.

Liquidity and behavioral premia are constructed from monthly microstructure and volatility–sentiment factors aggregated to quarterly frequency. Institutional-quality premia are derived from WGI and CPI governance indicators. Sovereign risk premia follow Damodaran’s rating- and spread-based methodology. All variables are standardized for comparability across time and countries.

This dataset supports empirical analysis of the cost of equity in thin but institutionally strong markets and is designed for transparency and replicability. It accompanies the paper “Estonia’s Equity Risk Premium in a Baltic Comparative Perspective: A Decomposition of Sovereign, Liquidity, Behavioral, and Institutional Premia.”

Researchers may use the dataset for equity valuation, risk decomposition, comparative capital-market analysis, or policy assessment related to liquidity and institutional reform.