One of the most enduring empirical regularities in equity markets is the inverse relationship between stock prices and volatility, first documented by Black (1976) who attributed it to the effects of financial leverage. As a company’s stock price declines, it becomes more highly leveraged given a fixed level of debt outstanding, and this increase in leverage induces a higher equity-return volatility. In a sample of all-equity-financed companies from January 1972 to December 2008, we find that the leverage effect is just as strong if not stronger, implying that the inverse relationship between price and volatility is not driven by financial leverage.