摘要翻译：
标准普尔500指数名单上的金融公司的股价是由美国消费者价格指数的线性函数建模的。协整的Johansen检验和Engle-Granger检验都证明了观测到的时间序列和预测的时间序列之间存在均衡的长期关系。从计量经济学上看，定价概念是有效的。对一些公司来说，过去股价仅由CPI读数来定义。因此，我们的实证定价模型是一个确定性模型。对于雷曼兄弟、美国国际集团、房地美和房利美等少数公司来说，2008年5月至9月可能会出现负股价。人们可能会将负股价解释为破产临近的迹象。
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英文标题：
《Modeling share prices of banks and bankrupts》
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作者：
Ivan O. Kitov
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  Share prices of financial companies from the S&P 500 list have been modeled by a linear function of consumer price indices in the USA. The Johansen and Engle-Granger tests for cointegration both demonstrated the presence of an equilibrium long-term relation between observed and predicted time series. Econometrically, the pricing concept is valid. For several companies, share prices are defined only by CPI readings in the past. Therefore, our empirical pricing model is a deterministic one. For a few companies, including Lehman Brothers, AIG, Freddie Mac and Fannie Mae, negative share prices could be foreseen in May-September 2008. One might interpret the negative share prices as a sign of approaching bankruptcies.
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PDF链接：
https://arxiv.org/pdf/1003.2692