{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,4]],"date-time":"2026-10-04T08:49:52Z","timestamp":1791103792240,"version":"4.1.0"},"reference-count":37,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2005,4,14]],"date-time":"2005-04-14T00:00:00Z","timestamp":1113436800000},"content-version":"vor","delay-in-days":44,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2005,3]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>Using annual data for 1872\u20131997, this paper re\u2010examines the predictability of real stock prices based on price\u2013dividend and price\u2013earnings ratios. In line with the extant literature, we find significant evidence of increased long\u2010horizon predictability; that is, the hypothesis that the current value of a valuation ratio is uncorrelated with future stock price changes cannot be rejected at short horizons but can be rejected at longer horizons based on bootstrapped critical values constructed from linear representations of the data. While increased statistical power at long horizons in finite samples provides a possible explanation for the pattern of predictability in the data, we find via Monte Carlo simulations that the power to detect predictability in finite samples does not increase at long horizons in a linear framework. An alternative explanation for the pattern of predictability in the data is nonlinearities in the underlying data\u2010generating process. We consider exponential smooth\u2010transition autoregressive models of the price\u2013dividend and price\u2013earnings ratios and their ability to explain the pattern of stock price predictability in the data. Copyright \u00a9 2005 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.774","type":"journal-article","created":{"date-parts":[[2005,4,14]],"date-time":"2005-04-14T12:30:58Z","timestamp":1113481858000},"page":"327-344","source":"Crossref","is-referenced-by-count":60,"title":["Valuation ratios and long\u2010horizon stock price predictability"],"prefix":"10.1002","volume":"20","author":[{"given":"David E.","family":"Rapach","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Mark E.","family":"Wohar","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2005,4,14]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938229"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951574"},{"key":"e_1_2_7_4_1","unstructured":"BerbenR\u2010P van DijkD.1998.Does the absence of cointegration explain the typical findings in long horizon regressions?Report 9814 Econometrics Institute Erasmus University."},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465301750160054"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1574-0048(99)10032-6"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00260"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(01)00037-8"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb04598.x"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.3905\/jpm.24.2.11"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1086\/261703"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb03695.x"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01751-8"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb04636.x"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90020-7"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90095-0"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/ei\/39.4.524"},{"key":"e_1_2_7_18_1","doi-asserted-by":"crossref","DOI":"10.1093\/oso\/9780198773191.001.0001","volume-title":"Modelling Nonlinear Economic Relationships","author":"Granger CWJ","year":"1993"},{"key":"e_1_2_7_19_1","first-page":"365","volume-title":"Statistical Inference in Dynamic Economic Models","author":"Hurwicz L","year":"1950"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/41.3-4.403"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199909\/10)14:5<491::AID-JAE527>3.0.CO;2-D"},{"key":"e_1_2_7_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0022-1996(02)00060-0"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.3.579"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00002-0"},{"key":"e_1_2_7_25_1","first-page":"134","article-title":"Do we reject too often?","volume":"20","author":"Mankiw NG","year":"1986","journal-title":"Economic Letters"},{"key":"e_1_2_7_26_1","first-page":"201","article-title":"Exchange rates and fundamentals: evidence on long\u2010horizon predictability","volume":"85","author":"Mark NC","year":"1995","journal-title":"American Economic Review"},{"key":"e_1_2_7_27_1","doi-asserted-by":"crossref","unstructured":"MarkNC SulD.2002.Asymptotic power advantages of long\u2010horizon regressions. 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