Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources
We 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.
|Date of creation:||05 Dec 2012|
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- 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).
- Kitov, Ivan & Kitov, Oleg, 2008. "Long-term linear trends in consumer price indices," MPRA Paper 6900, University Library of Munich, Germany.
- 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, 2010. "Modeling share prices of banks and bankrupts," MPRA Paper 21369, University Library of Munich, Germany.
- Ivan O. Kitov, 2010. "Modeling share prices of banks and bankrupts," Papers 1003.2692, arXiv.org.
- Kitov, Ivan, 2009. "ConocoPhillips and Exxon Mobil stock price," MPRA Paper 15334, University Library of Munich, Germany. Full references (including those not matched with items on IDEAS)
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