Turkey FMVM Companion Dataset (Monthly, 2015–2024)

This dataset provides the monthly companion file (Jan-2015 to Dec-2024) used in the study “Credibility Shocks and the Cost of Equity in Turkey: Evidence from a Multi-Premium Valuation Framework.” It contains the inputs and outputs of the Frontier Market Valuation Model (FMVM) for Turkey, expressed at monthly frequency.

The file is constructed by time-based linear interpolation of quarterly FMVM estimates originally derived from multiple sources, including Bloomberg and Reuters for market and macroeconomic variables, Borsa Istanbul (BIST) for trading indicators, and international governance datasets such as the World Bank’s Worldwide Governance Indicators (WGI), Transparency International’s Corruption Perceptions Index (CPI), and the PRS Group’s International Country Risk Guide (ICRG).

The dataset includes the following variables:

Forward P/E and Inverse P/E

Earnings Yield

Sovereign Risk Premium (CRP)

Liquidity Premium (LP)

Behavioral Premium (BP)

Institutional Quality Premium (IQP)

FMVM_Premium (CRP + LP + BP + IQP)

ERP_CAPM (fixed at 9.00)

ERP_CAPM_CRP (ERP_CAPM + CRP)

ERP_FMVM (FMVM_Premium)

All series are formatted with two-decimal precision. The monthly file is intended for visualization and consistent dating in figures.

Important note: All model calibration and out-of-sample validation in the paper are conducted on quarterly data (2015Q1–2024Q4). This monthly dataset does not alter econometric results and is provided solely as a reproducibility aid for figures and descriptive analysis.