What does the gap between the dividend yield and the risk-free interest rate reflect?

We look at the gap between the dividend yield and the risk-free long-term interest rate in the United States and the euro zone. One intuitive question is that if one buys an equity portfolio with a very long time horizon, the capital risk becomes very low. So why then is the dividend yield higher than the risk-free long-term interest rate in the euro zone but not in the United States? This could be an anomaly, leading investors to hold more equities than bonds over a long horizon; It may be compensation for the risk of a drastic fall in dividends, as has been brought into relief by the COVID crisis .