The study looked at how different industries' returns can be predicted using a measure called the variance risk premium. They found that the equity variance risk premium is better at predicting returns for industries that are sensitive to economic changes, while the bond variance risk premium is more important for certain industries like Finance and Utilities. The equity variance risk premium outperformed traditional predictors like price-earnings ratio and default spread in forecasting industry returns. The bond variance risk premium also had some predictive power, especially for specific industries during short forecasting periods. The researchers also discovered that the predictability of variance risk premiums depends on the state of the economy.