The study looked at how risk premiums and global market risk change over time in European stock markets. They used a special model to see if there were different effects on risk depending on the situation. By analyzing data from 1999 to 2007, they found that just looking at how markets move together isn't enough to understand local risk. They also discovered that market risk only shows up when prices are allowed to change. The researchers also found that there are differences in how risk changes depending on the situation, which is important for understanding how assets are priced.