Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
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![Table 5: Aggregate Asset Pricing Implications Data Model E(P/D) 25.55 20.96 σ(p − d) 0.38 0.38 AC of p − d 0.87 0.88 E[R m − R f ] 6.33% 7.87% σ(R m − R f ) 19.41% 19.19% AC of R m − R f 0.03 -0.04](https://thumb-us.123doks.com/thumbv2/123dok_us/216160.2520405/45.918.196.617.401.690/table-aggregate-asset-pricing-implications-data-model-ac.webp)
![Table 7: Long Horizon Regressions – Dividend Growth Horizon in Years 1 2 4 6 8 10 Data P H i=1 ∆d m t+i = β 0 + β 1 (p t − d t ) + ² t β 1 0.02 -0.01 -0.04 -0.12 -0.23 -0.31 t-stat (0.56) (-0.23) (-0.34) (-0.85) (-1.26) (-1.61) R 2 [-0.01] [-0.01] [-0.01]](https://thumb-us.123doks.com/thumbv2/123dok_us/216160.2520405/47.918.128.687.193.810/table-long-horizon-regressions-dividend-growth-horizon-years.webp)
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