The study looked at whether the risk of volatility affects how securities perform in the market. They used a measure called straddle returns on the S&P 500 index to assess this risk. The results showed that volatility risk plays a role in how investors make decisions about securities. Interestingly, different types of companies react differently to volatility risk. Small and value firms tend to have negative volatility coefficients, while big and growth firms have positive coefficients during high-volatility periods. This suggests that investors view these latter firms as safe bets when the economy is unstable. These findings have important implications for how portfolios are built, risks are managed, and strategies for hedging against market fluctuations.