Cross Comparison and Modelling of Goldman Sachs, Morgan Stanley, JPmorgan Chase, Bank of America, and Franklin Resources
12 Pages Posted: 7 Dec 2012
Date Written: December 6, 2012
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
JEL Classification: E4, G1, G2, G3
Suggested Citation: Suggested Citation
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