The study looked at how expected returns in the Russian stock market are affected by idiosyncratic risk, which is unique to individual assets. Investors in Russia face challenges in diversifying their portfolios, so they demand a higher return for taking on this specific risk. The researchers used a method called MIDAS regressions to analyze data from different industries in Russia. They found that idiosyncratic risk does indeed come with a significant premium, even after considering other global factors and short-term trends in returns.