David E. Rapach and Mark E. Wohar, "Valuation Ratios and Long-Horizon Stock
Price Predictability", Journal of Applied Econometrics, Vol. 20, No. 3,
2005, pp. 327-344. 

The data file and all program files are ASCII files in DOS format. They are 
zipped in the file rapach-wohar.zip. Unix users should use "unzip -a".

The GAUSS program files generate the empirical results reported in the
paper. Note that you may obtain slightly different results than those
reported in the paper for the bootstrap procedures and Monte Carlo
simulations, as the draws are not seeded.

All of the program files load the file DATA.TXT, which each
program file assumes is located at c:\research\preg. This ASCII
file contains a 129 x 3 matrix of data. The columns are the
following:

  First column: real S&P 500 share price series, 1871-1999
  (January nominal S&P share price divided by the January CPI)

  Second column: real S&P 500 dividends series, 1871-1999 (annual nominal
  dividends divided by the January CPI)

  Third column: real S&P 500 earnings series, 1871-1999 (annual nominal
  earnings divided by the January CPI)

The nominal S&P share price, nominal dividends, nominal
earnings, and CPI series were downloaded from Robert
Shiller's home page at http://www.econ.yale.edu/~shiller.

Note that we use data from 1871-1997 in the paper,
following Campbell and Shiller (1998).


PDPR.PRG generates the coefficient estimates, t-statistics,
and p-values for the price-dividend ratio reported in columns
(2) and (3) of Table 1.

PEPR.PRG generates the coefficient estimates, t-statistics,
and p-values for the price-earnings ratio reported in columns
(4) and (5) of Table 1.

PDPR_MCS.PRG generates the size figures for the price-divided
ratio reported in column (2) of Table 2.

PDPR_MCP.PRG generates the power figures for the price-divided
ratio reported in column (3) of Table 2.

PDPR_MCP2.PRG generates the power figures for the price-divided
ratio reported in column (4) of Table 2.

PEPR_MCS.PRG generates the size figure for the price-earnings
ratio reported in column (5) of Table 2.

PEPR_MCP.PRG generates the power figure for the price-earnings
ratio reported in column (6) of Table 2.

PEPR_MCP2.PRG generates the power figure for the price-earnings
ratio reported in column (7) of Table 2.

PD_NL.PRG generates the ESTAR model estimation results for the
price-dividend ratio reported in Table 3.

PE_NL.PRG generates the ESTAR model estimation results for the
price-earnings ratio reported in Table 3.

PDPR_NL.PRG generates the coefficient estimates, t-statistics,
and p-values for the price-dividend ratio reported in columns
(2) and (3) of Table 4.

PEPR_NL.PRG generates the coefficient estimates, t-statistics,
and p-values for the price-earnings ratio reported in columns
(4) and (5) of Table 4.

PDPR_MCS_NL.PRG generates the size figures for the price-dividend
ratio reported in column (2) of Table 5.

PDPR_MCP_NL_DGP3.PRG generates the power figures for the
price-dividend ratio reported in column (3) of Table 5.

PEPR_MCS_NL.PRG generates the size figures for the price-earnings
ratio reported in column (4) of Table 5.

PEPR_MCP_NL_DGP3.PRG generates the power figures for the price-earnings
ratio reported in column (5) of Table 5.

PDPR_BIAS.PRG generates the ratio of the bias to the point estimate
for the price-dividend ratio reported in footnote 5.

PEPR_BIAS.PRG generates the ratio of the bias to the point estimate
for the price-earnings ratio reported in footnote 4.

NP01.PRG generates the unit root test results described in footnote 8.

(The Lagrange-multiplier test results described in the fifth paragraph
of Section 4 were generated in EViews.)


If you have questions, please contact:

  David E. Rapach
  Department of Economics
  Saint Louis University
  3674 Lindell Boulevard
  Saint Louis, MO 63108-3397
  rapachde@slu.edu
  http://pages.slu.edu/faculty/rapachde/