Equity risk premium and time horizon: What do the U.S. secular data say?

► We model the one period and infinite time horizon US equity risk premia. ► The equilibrium risk premia depend on expected variances and the prices of risk. ► The expected variances of stock returns depend on past observed variances. ► The horizon-dependent prices of risk are estimated using the Kalman filter. ► The market risk premia adjust towards their equilibrium values.