The study shows that when the volatility of stock prices changes a lot, stock returns tend to be lower. By looking at a measure called VVIX, which shows how much the volatility of the volatility index is changing, the researchers found that when this measure goes up, stock returns go down. They discovered that a big increase in this measure is linked to an 11% drop in average annual returns. These results were consistent even after considering other factors like overall volatility and jump risk.