We model an exchange economy where a finite number of standard identical agents interact locally and analyse the time-series properties of the simulated dividend–price ratio dpt. Our results document that a sufficient degree of social dynamics induces
high persistence in dpt which leads to the failure to reject the null of a unit root, as well as the failure to reject the null that dividends and prices are not cointegrated. At the same time, we find that returns are not significantly autocorrelated, thus, being
consistent with weak-form market efficiency. Finally, we document that although dpt is highly persistent, econometric tests may still find predictability of future returns by current dividend–price ratios.