This paper studies the joint determination of bond and equity prices with limited stock market participation. Using data from the Consumer Expenditure Survey, I find that expected consumption growth for financial asset holders closely follows the Di Tella et al. (2024) zero-beta rate, while expected consumption growth of other households tracks real Treasury yields. The difference in expected consumption growth between these groups is correlated with risk measures. I show that these empirical patterns can be explained by a model with market segmentation and time-varying risk. In the model, market segmentation creates wedges between agents’ stochastic discount factors. Rare disasters reduce expected consumption growth for equity holders, while bond holders are relatively insulated. Quantitatively, the model matches the level and volatility of the excess return of equities over bonds.