Kitov, Ivan (2012): ConocoPhillips’ share price model revisited.
Download (710kB) | Preview
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.
|Item Type:||MPRA Paper|
|Original Title:||ConocoPhillips’ share price model revisited|
|English Title:||ConocoPhillips’ share price model revisited|
|Keywords:||stock price, ConocoPhillips, prediction, CPI|
|Subjects:||G - Financial Economics > G1 - General Financial Markets
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles
|Depositing User:||Ivan Kitov|
|Date Deposited:||21. Apr 2012 21:06|
|Last Modified:||19. Feb 2013 01:07|
Kitov, I. (2009). Predicting ConocoPhillips and Exxon Mobil stock price, Journal of Applied Research in Finance, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. I(2(2)_ Wint), pp. 129-134.
Kitov, I. (2010). Deterministic mechanics of pricing. LAP Lambert Academic Publishing (June 26, 2010), pp. 192.
Kitov, I. (2010). Modelling share prices of banks and bankrupts, Theoretical and Practical Research in Economic Fields, ASERS, vol. I(1(1)_Summer) pp. 59-85
Kitov, I., Kitov, O. (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), pp. 101-112.
Kitov, I. (2009). Apples and oranges: relative growth rate of consumer price indices, MPRA Paper 13587, University Library of Munich, Germany, http://mpra.ub.uni-muenchen.de/13587/01/MPRA_paper_13587.pdf
Kitov, I., Kitov, O. (2009). A fair price for motor fuel in the United States, MPRA Paper 15039, University Library of Munich, Germany, http://mpra.ub.uni-muenchen.de/15039/01/MPRA_paper_15039.pdf
Kitov, I., Kitov, O., (2009). Sustainable trends in producer price indices, MPRA Paper 15194, University Library of Munich, Germany, http://mpra.ub.uni-muenchen.de/15194/01/MPRA_paper_15194.pdf
Bureau of Labor Statistics. (2012). Databases, Tables and Calculators by Subject. Inflation and Prices, http://www.bls.gov/data/