The study shows that when the volatility of stock market fluctuations changes a lot, stock returns tend to decrease. By analyzing the VVIX, a measure of how volatile the volatility index is, researchers found that higher volatility-of-volatility leads to lower stock returns. In fact, a big increase in this volatility factor can result in an 11% drop in annual returns. These findings were consistent even after considering other factors like overall market volatility and jump risk.