This paper studies the relationship between consumption dynamics and asset prices with limited stock market participation. Using data from the Consumer Expenditure Survey, I find that expected consumption growth for securities holders closely follows the expected return on equities, while expected consumption growth of other households tracks real Treasury yields. I show that these empirical patterns can be explained by a model where portfolio rigidities create market segmentation, driving a wedge between agents’ stochastic discount factors. In the model, changes in the probability of a rare disaster sharply 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.