Existing literature assumes that regulation allows utilities to shift input cost changes to consumers, reducing revenue volatilities, thus lowering systematic risk for regulated firms. We offer the first empirical test of this assumption by comparing beta and revenue volatility between utilities and less regulated firms, specifically manufacturing firms. We find that utilities have significantly lower betas and revenue volatility. Further, revenue volatility has significant explanatory power over manufacturing firm betas but none for utilities because so little variation in both beta and revenue volatility exists cross-sectionally for the utility sample. The results have important implications for investors considering low-beta stocks.