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
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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, Association for Sustainable Education, Research and Science, vol. 0(1), pages 59-85, June.
- 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
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, 2009. "ConocoPhillips and Exxon Mobil stock price," MPRA Paper 15334, University Library of Munich, Germany.
- Kitov, Ivan & Kitov, Oleg, 2009. "A fair price for motor fuel in the United States," MPRA Paper 15039, University Library of Munich, Germany.
- Ivan O. Kitov & Oleg I. Kitov, 2008.
"Long-Term Linear Trends In Consumer Price Indices,"
Journal of Applied Economic Sciences,
Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 3(2(4)_Summ).
- Kitov, Ivan & Kitov, Oleg, 2009. "Sustainable trends in producer price indices," MPRA Paper 15194, University Library of Munich, Germany.
- David F. Hendry & Katarina Juselius, 2001.
"Explaining Cointegration Analysis: Part II,"
The Energy Journal,
International Association for Energy Economics, vol. 0(Number 1), pages 75-120.
- Kitov, Ivan, 2009.
"Does economics need a scientific revolution?,"
14476, University Library of Munich, Germany.
- Kitov, Ivan, 2012.
"Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources,"
43099, 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," Papers 1212.1661, arXiv.org.
- Ivan Kitov, 2012.
"ConocoPhillips' share price model revisited,"
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