This paper analyzes the reaction of the S&P 500 returns to changes in implied volatility given by the VIX index, using a daily data sample from 1990 to 2012. We found that in normal regimes increases (declines) in the expected market volatility result in lower (higher) subsequent stock market returns. Thus, investors enter into selling positions upon a perception of increased risk for their equity investments, while they enter into long positions when they perceive an improved environment for those investments. However, for extreme regimes investors' reaction to increasing risk is ambiguous. We found that VIX variation significantly influences investment strategies for holding periods up to one month. Additionally we propose an investment rule for short-term oriented investors.