In this paper, we consider the pricing effects of noisy risk disclosure. We assume that investors are uncertain about the variance of a firm's cash flows and that the firm releases an imperfect signal regarding this variance. We show that the variance uncertainty is priced and that risk disclosure decreases the cost of capital in both single and multi-asset settings. We find that mean and risk disclosure are substitutes, and that firms acquire and disclose more risk information when they discover that risks are high.