Returns vs Volatility

I read some article that mentioned: "In questionnaires, investors tended to have higher return expectations when they forecast volatility as being relatively low". What! Are investors schtoopid or somethin' ? Everybuddy knows that one should associate higher returns with higher volatility. Regardless of what investors "think", what's the data show? Here's a gaggle of DOW stocks: 5-year Return vs the Volatility of monthly returns: See? Smaller returns are associated with higher volatility. Are investors schmart or what !! Mebbe investors are influenced by what happened earlier (?) Here's that chart using data 5 years earlier: P.S. I got the data from the spreadsheet described here -- with some mods to get 5-year returns rather than annualized returns. P.P.S. Shhh ... don't tell nobuddy. Under one of the buttons it says d for daily returns. Y'all can change that to m for monthly returns.