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Analysis of price behavior patterns for revenue projections: statistical tests of a copper price time series

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Author Info

  • Marcia Athayde Matias

    (University of Brasília)

  • Cesar Augusto Tiburcio Silva

    (University of Brasília)

  • Leonardo Vieira

    (University of Brasília)

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    Abstract

    In analyzing the projected cash flow of an investment, especially when the main product is a commodity, defining future revenue as a function of the price behavior of this commodity is a widely debated question among academics and financial analysts. This study carries out econometric evaluations based on a historical copper-price series, aiming to verify whether these prices follow some behavior pattern already reported in the literature, especially mean reversion and geometric Brownian motion (GBM). Tests were performed for stationarity, autocorrelation, normality and linearity. These results indicate that copper prices in the interval studied have not followed any identified behavior pattern, suggesting that the models normally used in financial projections have a weak capacity to forecast future copper prices.

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    File URL: http://www.bbronline.com.br/public/edicoes/2_2/artigos/mvg3vhm7xx29112010104139.pdf
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    Bibliographic Info

    Article provided by Fucape Business School in its journal Brazilian Business Review.

    Volume (Year): 2 (2005)
    Issue (Month): 2 (July)
    Pages: 108-123

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    Handle: RePEc:bbz:fcpbbr:v:2:y:2005:i:2:p:108-123

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    Postal: Fucape Business School Brazilian Business Review Av. Fernando Ferrari, 1358, Boa Vista CEP 29075-505 Vitória-ES
    Phone: +55 27 4009-4408
    Fax: +55 27 4009-4422
    Web page: http://www.bbronline.com.br/
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    Related research

    Keywords: prices; commodity; behavior patterns; copper;

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