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<p>This study examines how uncertainty in open economies transmits to equity discount rates by decomposing Vietnam’s cost of equity into four channels: sovereign risk (CRP), liquidity risk (LP), priced volatility or uncertainty (BP), and institutional quality (IQP). Rather than proposing a new equilibrium asset-pricing model, we operationalize a valuation-oriented, multi-premium decomposition as a diagnostic framework. Using quarterly data from 2015 to 2024, the framework embeds an EGARCH-in-Mean specification and is validated against market valuation anchors—forward inverse price-earnings ratios and earnings yield. Both in-sample and out-of-sample tests show that the multi-premium decomposition tracks valuation anchors more closely than CAPM and CAPM augmented with a country risk premium, particularly during the COVID-19 shock and the 2022–2023 enforcement-driven stress episode. A regional comparison with Thailand, the Philippines, and Bangladesh further highlights that cross-country differences in required returns reflect not only sovereign spreads but also liquidity conditions, volatility-related uncertainty, and governance quality. The framework is policy-diagnostic, mapping risk components to interpretable reform levers in frontier markets.</p>

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A Multi-Premium Valuation Framework for International Equity Risk: Vietnam and Regional Benchmarks

  • 期刊论文

  • 发表日期：

    2026年6月29日

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  • Marco I. Bonelli

摘要

This study examines how uncertainty in open economies transmits to equity discount rates by decomposing Vietnam’s cost of equity into four channels: sovereign risk (CRP), liquidity risk (LP), priced volatility or uncertainty (BP), and institutional quality (IQP). Rather than proposing a new equilibrium asset-pricing model, we operationalize a valuation-oriented, multi-premium decomposition as a diagnostic framework. Using quarterly data from 2015 to 2024, the framework embeds an EGARCH-in-Mean specification and is validated against market valuation anchors—forward inverse price-earnings ratios and earnings yield. Both in-sample and out-of-sample tests show that the multi-premium decomposition tracks valuation anchors more closely than CAPM and CAPM augmented with a country risk premium, particularly during the COVID-19 shock and the 2022–2023 enforcement-driven stress episode. A regional comparison with Thailand, the Philippines, and Bangladesh further highlights that cross-country differences in required returns reflect not only sovereign spreads but also liquidity conditions, volatility-related uncertainty, and governance quality. The framework is policy-diagnostic, mapping risk components to interpretable reform levers in frontier markets.