Modeling share prices of banks and bankrupts
Abstract
Share 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.Download Info
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 21369.Length:
Date of creation: 13 Mar 2010
Date of revision:
Handle: RePEc:pra:mprapa:21369
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Related research
Keywords: share price; modeling; CPI; prediction; the USA; bankruptcy;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.
- Ivan O. Kitov, 2010. "Modeling share prices of banks and bankrupts," Papers 1003.2692, arXiv.org.
- 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)
- NEP-MIC-2010-03-28 (Microeconomics)
- NEP-ORE-2010-03-28 (Operations Research)
References
References listed on IDEASPlease 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. "A fair price for motor fuel in the United States," MPRA Paper 15039, University Library of Munich, Germany.
- Kitov, Ivan & Kitov, Oleg, 2009. "Sustainable trends in producer price indices," MPRA Paper 15194, University Library of Munich, Germany.
- Kitov, Ivan, 2009.
"Does economics need a scientific revolution?,"
MPRA Paper
14476, University Library of Munich, Germany.
- Ivan O. Kitov, 2009. "Does economics need a scientific revolution?," Papers 0904.0729, arXiv.org.
- Kitov, Ivan & Kitov, Oleg, 2008.
"Long-term linear trends in consumer price indices,"
MPRA Paper
6900, 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).
- Katarina Juselius & David F. Hendry, 2000.
"Explaining Cointegration Analysis: Part II,"
Discussion Papers
00-20, University of Copenhagen. Department of Economics.
- 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.
- David F. Hendry & Katarina Juselius, 2000. "Explaining Cointegration Analysis: Part 1," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 1-42.
- Kitov, Ivan, 2009. "ConocoPhillips and Exxon Mobil stock price," MPRA Paper 15334, University Library of Munich, Germany.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Kitov, Ivan, 2012.
"ConocoPhillips’ share price model revisited,"
MPRA Paper
38261, University Library of Munich, Germany.
- Ivan Kitov, 2012. "ConocoPhillips' share price model revisited," Papers 1204.5171, arXiv.org.
- 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.
- 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.
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