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, ASERS Publishing, ASERS Publishing, 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.:
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