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Modeling Share Prices Of Banks And Bankrupts

Author

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  • Ivan KITOV

    (Russian Academy of Sciences, Russia Institute for the Geospheres’ Dynamics)

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.

Suggested Citation

  • Ivan KITOV, 2010. "Modeling Share Prices Of Banks And Bankrupts," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 1(1), pages 59-85.
    • Handle: RePEc:srs:jtpref:v:1:y:2010:i:1:p:59-85
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    Cited by:

    1. Kitov, Ivan, 2014. "A two-year revision: cross comparison and modeling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources," MPRA Paper 54696, University Library of Munich, Germany.

    More about this item

    JEL classification:

    • 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

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