Since September 16, 2009 the readings of the headline CPI and its components for August 2009 are available (we retrieve all CPI data from http://www.bls.gov/data). We recalculate our model for selected stock prices from the S&P 500 list. First was ConocoPhillips since it provides a good example of a company, which share price has been leading defining components of the CPI. Here we present several companied from the “energy” subcategory of S&P 500. It is instructive that these companies are rather different than similar in the evolution of share price and thus in defining CPI components.
In the previous posts and articles [1,2] we introduced several models with varying number of CPI components. In our view, the best one, we call it 3-C model, is seeking those two CPI components from 34 pre-selected ones, which minimize the difference between observed (monthly closing price adjusted for dividends and splits) and predicted prices for the period between July 2003 and August 2009. This model also includes free term (constant) and linear time term [3-6], which compensates well know linear (time) trends between various CPI components.
In the previous post we reported the empirical 3-C model for COP:
COP(t)= 3.41CF(t+1) - 7.17EC(t-6) + 7.22*(t-2000) + 145.76
where t is the calendar time, CF is the headline CPI less food, which lags behind COP by one months, and EC is the index for education and communication leading COP by six months. Standard deviation between the curves is $3.96 for the period between July 2003 and August 2009. Figure 1 displays the observed and predicted prices.
In the previous posts and articles [1,2] we introduced several models with varying number of CPI components. In our view, the best one, we call it 3-C model, is seeking those two CPI components from 34 pre-selected ones, which minimize the difference between observed (monthly closing price adjusted for dividends and splits) and predicted prices for the period between July 2003 and August 2009. This model also includes free term (constant) and linear time term [3-6], which compensates well know linear (time) trends between various CPI components.
In the previous post we reported the empirical 3-C model for COP:
COP(t)= 3.41CF(t+1) - 7.17EC(t-6) + 7.22*(t-2000) + 145.76
where t is the calendar time, CF is the headline CPI less food, which lags behind COP by one months, and EC is the index for education and communication leading COP by six months. Standard deviation between the curves is $3.96 for the period between July 2003 and August 2009. Figure 1 displays the observed and predicted prices.
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Below we present analytic models and figures for several energy companies without comments. One can judge the accuracy of the predictions and the similarity/difference between the companies.
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References
[1] Kitov, I., Kitov, O., (2009). Predicting share price of energy companies: June-September 2009, MPRA Paper 15863, University Library of Munich, Germany, http://mpra.ub.uni-muenchen.de/15863/01/MPRA_paper_15863.pdf
[2] Kitov, I., Kitov, O., (2009). Modelling selected S&P 500 share prices, MPRA Paper 15862, University Library of Munich, Germany, http://mpra.ub.uni-muenchen.de/15862/01/MPRA_paper_15862.pdf
[3] 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.
[4] 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
[5] 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
[6] 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
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