Stocks with high volatility risk have abysmally low average returns.
The study looked at how stock returns are affected by changes in overall market volatility. They found that stocks that are more sensitive to these changes tend to have lower average returns. Additionally, stocks with high individual volatility compared to a standard model also have very low average returns. This is not due to other factors like company size or market trends. In summary, stocks that are more affected by market volatility tend to perform poorly in terms of returns.