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In this paper we investigate whether or not the conventional wisdom that stocks are more attractive for long horizon investors hold. Taking the perspective of an investor, we evaluate the predictive variance of k-period returns for different models and prior specifications and conclude, that stocks are indeed less volatile in the long run. Part of the developments include an extension of the modeling framework to incorporate time varying volatilities and covariances in a constrained priordoi:10.1080/01621459.2017.1407769 fatcat:medidprptzdg3kun3f74j2q4ry