Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources
AbstractWe have studied statistical characteristics of five share price time series. For each stock price, we estimated a best fit quantitative model for the monthly closing price as based on the decomposition into two defining consumer price indices selected from a large set of CPIs. It was found that there are two pairs of similar models (Bank of America/Morgan Stanley and Goldman Sachs/JPMorgan Chase) with a standalone model for Franklin Resources. From each pair, one can choose the company with the highest return depending on the future evolution of defining CPIs.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 43099.
Date of creation: 05 Dec 2012
Date of revision:
share price; modeling; CPI; prediction; USA; bankruptcy;
Other versions of this item:
- 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.
- 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:
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.:
- Ivan O. Kitov, 2010.
"Modeling share prices of banks and bankrupts,"
- 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.
- Kitov, Ivan & Kitov, Oleg, 2008.
"Long-term linear trends in consumer price indices,"
6900, University Library of Munich, Germany.
- Kitov, Ivan, 2009. "ConocoPhillips and Exxon Mobil stock price," MPRA Paper 15334, University Library of Munich, Germany.
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