Modelling Share Prices of Banks and Bankrupts
AbstractShare prices of financial companies from the S&P 500 list have been modeled by a linear function of consumer price indices in the USA. The Johansen and Engle-Granger tests for cointegration both demonstrated the presence of an equilibrium long-term relation between observed and predicted time series. Econometrically, the pricing concept is valid. For several companies, share prices are defined only by CPI readings in the past. Therefore, our empirical pricing model is a deterministic one. For a few companies, including Lehman Brothers, AIG, Freddie Mac and Fannie Mae, negative share prices could be foreseen in May-September 2008. One might interpret the negative share prices as a sign of approaching bankruptcies.
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Bibliographic InfoArticle provided by ASERS Publishing in its journal Theoretical and Practical Research in Economic Fields.
Volume (Year): I (2010)
Issue (Month): 1 (June)
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Web page: http://www.asers.eu/journals/tpref.html
share price; modelling; CPI; prediction; the USA; bankruptcy;
Other versions of this item:
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
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