The study looked at how the risk of extreme negative returns affects global stock markets. They found that investors are compensated for this risk with negative variance premia. These premia are mainly for protecting against big losses. The longer the investment period, the more pronounced the downside risk protection. The total variance premium increases over time due to positive upside risk protection. This means that investors are rewarded for taking on risk in good times. The findings suggest that a model involving consumption habits and economic conditions can explain these patterns.