Modeling 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 InfoPaper provided by arXiv.org in its series Papers with number 1003.2692.
Date of creation: Mar 2010
Date of revision:
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Web page: http://arxiv.org/
Other versions of this item:
- Ivan O. Kitov, 2010. "Modelling Share Prices of Banks and Bankrupts," Theoretical and Practical Research in Economic Fields, ASERS Publishing, vol. 0(1), pages 59-85, June.
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-28 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kitov, Ivan & Kitov, Oleg, 2009.
"Sustainable trends in producer price indices,"
15194, University Library of Munich, Germany.
- Ivan O. KITOV & Oleg I. KITOV, 2009. "Sustainable Trends In Producer Price Indices," Journal of Applied Research in Finance Bi-Annually, ASERS Publishing, vol. 0(1), pages 43-51, June.
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"Explaining Cointegration Analysis: Part II,"
The Energy Journal,
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- Kitov, Ivan, 2009. "ConocoPhillips and Exxon Mobil stock price," MPRA Paper 15334, University Library of Munich, Germany.
- Kitov, Ivan, 2009.
"Does economics need a scientific revolution?,"
14476, University Library of Munich, Germany.
- Ivan Kitov, 2012.
"Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources,"
- Kitov, Ivan, 2012. "Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources," MPRA Paper 43099, University Library of Munich, Germany.
- Kitov, Ivan, 2012.
"ConocoPhillips’ share price model revisited,"
38261, University Library of Munich, Germany.
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