Before revision:  Second, extreme market volatility risk is characterized by dependence between extremely high increments of market volatility and extremely low asset return. Empirical findings based on the datasets with long enough history, 30 Fama-French Industry portfolios, and 25 Fama-French portfolios sorted on size and book-to-market support our intuition. We reach the same conclusion using stock-level data as well as daily data.
After revision:  Second, extreme market volatility risk is priced by investors in the long-term. These risks stem from a dependence structures in the joint distribution of stochastic discount factor and asset returns at various investment horizons that are more general than usually assumed by traditional covariance-based measures. The risk premium we document suggests that investors care about the transitory as well as daily data.