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

TL;DR

This study models and compares the monthly stock prices of five major financial firms using consumer price indices, revealing pairs of similar models and insights into potential returns based on CPI evolution.

Contribution

It introduces a quantitative modeling approach for stock prices based on consumer price indices and identifies pairs of similar models among major financial firms.

Findings

Two pairs of similar stock price models identified

Franklin Resources has a standalone unique model

Future returns depend on CPI evolution

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