The study looked at how the US stock market is affected by the ups and downs of the economy from 1960 to 2003. They found that bad times in the economy hurt stock returns more than good times help them. They also discovered that different types of shocks impact stock returns in different ways. Negative supply shocks can make the risk of investing in stocks go up. Their model shows that the price of risk changes over time, which is important to consider when investing.