Kitov, Ivan (2012): Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources|
|English Title:||Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources|
|Keywords:||share price, modeling, CPI, prediction, USA, bankruptcy|
|Subjects:||G - Financial Economics > G1 - General Financial Markets
G - Financial Economics > G2 - Financial Institutions and Services
G - Financial Economics > G3 - Corporate Finance and Governance
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates
|Depositing User:||Ivan Kitov|
|Date Deposited:||06. Dec 2012 13:48|
|Last Modified:||15. Feb 2013 13:52|
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). 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.
Kitov, I. and O. 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).