Contrary to the findings of early empirical studies (e.g., Botosan, 1997), we document a robust positive relation between disclosure level and the implied cost of capital, using a substantially larger sample constructed through textual analysis. We attribute this result to a bias in the implied cost of capital that is positively correlated with idiosyncratic volatility and, consequently, with information about idiosyncratic risks contained in firm disclosures. By proposing and applying two methods to mitigate this bias, we confirm a null effect of disclosure level on expected returns, aligning with modern asset pricing theory. Our findings cast doubt on the notion that greater disclosure reduces the cost of capital and have important implications for the use of the implied cost of capital as a proxy for expected returns in future research.