Conocophillips’ Share Price Model Revisited

10 Pages Posted: 22 Apr 2012

See all articles by Ivan Kitov

Ivan Kitov

Russian Academy of Sciences (RAS) - Institute for the Geospheres Dynamics

Date Written: April 21, 2012

Abstract

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.

Keywords: stock price, ConocoPhillips, prediction, CPI

JEL Classification: G1, E3

Suggested Citation

Kitov, Ivan O., Conocophillips’ Share Price Model Revisited (April 21, 2012). Available at SSRN: https://ssrn.com/abstract=2043497 or http://dx.doi.org/10.2139/ssrn.2043497

Ivan O. Kitov (Contact Author)

Russian Academy of Sciences (RAS) - Institute for the Geospheres Dynamics ( email )

Leninsky prospect 38/1
Moscow, Moscow 119334
Russia

HOME PAGE: http://idg3.chph.ras.ru

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