The study looked at how expected returns in the Russian stock market are affected by unique risks associated with individual assets. Investors in Russia face challenges in diversifying their portfolios due to costs and lack of protection. The researchers used a method called MIDAS regressions to estimate the price of these unique risks. They found that these risks do indeed come with a significant premium, even after considering other global factors. This suggests that investors in Russia demand higher returns to compensate for the specific risks of individual assets.