From "Now the Long run looks riskier too"
"Applying Bayesian techniques, the professors found that reversion to the mean isn’t powerful enough to overcome the growing uncertainty caused by other factors as the holding period grows....""Now co-Author Robert Stambaugh offers more insights on the paper in an interview with Knowledge@Wharton:
Why Stock-price Volatility Should Never Be a Surprise, Even in the Long Run - Knowledge@Wharton:
"Robert Stambaugh: Generally when we think about volatility in the stock market, we think about the value of the market fluctuating, typically around some sort of trend or long-term expected rate of return. Our work makes the point that uncertainty about that trend itself adds to the uncertainty that investors face...uncertainty about the trend itself becomes more important the further into the future you project investment outcomes. So our paper basically makes the point that to an investor with a long horizon, stocks actually are riskier per period.That is, the rate at which risk grows over the horizon such that it makes the investment riskier over the long run.This is basically in contrast to what we think of as more conventional wisdom that says over the long run, fluctuations in the stock market will to some degree cancel each other out and should be perceived by them much like volatility --"Good stuff!