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We examine the relation between idiosyncratic volatility and returns around news announcements. Since mispricing is most likely to occur during news announcements, if idiosyncratic volatility generates a limit to arbitrage then the negative relation between returns and news volatility (volatility contemporaneous to news announcements) should be stronger than the relation to non-news volatility (volatility without an identified news announcement). Instead, we find non-news volatility has a robust negative relation to returns and lacks some of the key features expected if volatility were a reflection of limits to arbitrage. We also find that pricing of non-news volatility is related to lottery-like features of a stock's return. Our results suggest that volatility has a price effect beyond its potential role as a limit to arbitrage. JEL: G12; G14