There is a significant negative relationship between stock returns and changes in future stock return volatility even among all-equity firms. While Hasanhodzic and Lo (2011) suggest that the inverse price and variance relation cannot be due to the classic leverage effect, our results suggest caution in dismissing Black’s (1976) theory. We document that many all-equity firms use off-balance sheet financing extensively, sometimes to the point of violating the financial covenants on their lines of credit. We show that by taking these facts into account, seemingly zero debt firms are much like their debt-financed counterparts in many dimensions. Our results suggest reexamination of the academic definition of firm level leverage.