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Goyal and SantaClara (2003) find a significantly positive relation between the equalweighted average stock volatility and the valueweighted portfolio returns on the NYSE/AMEX/Nasdaq stocks for the period of 1963:08 to 1999:12. We show that this result is driven by small stocks traded on the Nasdaq, and is in part due to a liquidity premium. In addition, their result does not hold for the extended sample of 1963:08 to 2001:12 and for the NYSE/AMEX and NYSE stocks. More importantly, we find no evidence of a significant link between the valueweighted portfolio returns and the median and valueweighted average stock volatility.