Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources

Ivan Kitov

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: share price; modeling; CPI; prediction; USA; bankruptcy (search for similar items in EconPapers)
JEL-codes: E4 G1 G2 G3 (search for similar items in EconPapers)
Date: 2012-12-05
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:43099

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