We find evidence that the conventional wisdom, among both managers and researchers, that information technology (IT) investments are risky is incorrect. IT managers are increasingly asked to justify IT investments in financial terms in order to gain project approval. Researchers have moved beyond productivity in an attempt to “open up the black box” of the returns to investment in IT. Using a sample of 653 firm-years for the years 1991-1996, this study finds that IT reduces systematic risk in the five-year period after the IT investment. The implication for managers is that, while implementation of IT projects is risky in the near term, managers should use lower return requirements for IT investments due to the longer-term impact of IT upon firm-level systematic risk. For researchers, the implication is that part of the reason for excessively high estimates of returns attributed to levels of IT capital may be that prior investment in IT may have reduced systematic risk and borrowing cost to the firm.