True or False?
False! What counts is not the variability of the return to the individual stock but the portion of that variability that cannot be diversified away by combining the stock with others in a large portfolio.
One could imagine a group of stocks, each of which has a highly variable return that is uncorrelated with the returns to any of the others or with the returns to a market portfolio of all possible stocks. These stocks would bear no risk premium because a properly weighted portfolio containing a large number of them would exhibit a virtually constant return.
It is the non-diversifiable variability of the returns from stocks that increases the market yield necessary to get investors to hold them. When the returns from a group of stocks fluctuate together, gains in one stock cannot offset losses in another because all stocks gain and lose at the same time.