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ConocoPhillips' share price model revisited

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  • Ivan Kitov

Abstract

Three years ago we found a statistically reliable link between ConocoPhillips' (NYSE: COP) stock price and the difference between the core and headline CPI in the United States. In this article, the original relationship is revisited with new data available since 2009. The agreement between the observed monthly closing price (adjusted for dividends and splits) and that predicted from the CPI difference is confirmed. The original quantitative link is validated. In order to improve the accuracy of the COP price prediction a series of advanced models is developed. The original set of two major CPIs is extended by smaller components of the headline CPIs (e.g. the CPIs of motor fuel and housing energy) and several PPIs (e.g. the PPIs of crude oil and coal) which may be inherently related to ConocoPhillips and other energy companies. These advanced models have demonstrated much lower modeling errors with better statistical properties. The earlier reported quasi-linear trend in the CPI difference is also revisited. This trend allows for an accurate prediction of the COP prices at a five to ten year horizon.

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Paper provided by arXiv.org in its series Papers with number 1204.5171.

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Date of creation: Apr 2012
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Handle: RePEc:arx:papers:1204.5171

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  1. Kitov, Ivan & Kitov, Oleg, 2009. "A fair price for motor fuel in the United States," MPRA Paper 15039, University Library of Munich, Germany.
  2. Ivan O. Kitov, 2010. "Modeling share prices of banks and bankrupts," Papers 1003.2692, arXiv.org.
  3. 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.
  4. Kitov, Ivan & Kitov, Oleg, 2008. "Long-term linear trends in consumer price indices," MPRA Paper 6900, University Library of Munich, Germany.
  5. Kitov, Ivan, 2009. "Apples and oranges: relative growth rate of consumer price indices," MPRA Paper 13587, University Library of Munich, Germany.
  6. Kitov, Ivan, 2009. "ConocoPhillips and Exxon Mobil stock price," MPRA Paper 15334, University Library of Munich, Germany.
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