We decompose market return variance into a component that covaries with the stochastic discount factor (SDF) and one that does not. The SDF-orthogonal component - conditional excess volatility - contributes to variance but cannot earn a risk premium. We show that the ratio of the market risk premium to total market variance reveals the share of market variance orthogonal to the SDF. Using three distinct measures of this ratio across twenty equity markets, we find that it does not increase during recessions and often declines. Because standard models uniformly predict countercyclical risk pricing, this finding requires the excess volatility share to increase substantially in bad times. Our empirical results imply that excess volatility constitutes at least half of the total market volatility in recessions. We show that this mechanism provides a unified explanation for (i) why optimal portfolio weights do not increase in downturns despite rising Sharpe ratios, (ii) why the term structure of Sharpe ratios on dividend claims is downward-sloping, and (iii) why option portfolios with fixed risk quantities earn lower returns at longer horizons.