We show that, when allowing for general distributions of dividend growth in a Lucas economy with multiple \trees," idiosyncratic volatility will aect expected returns in ways that are not captured by the log linear approximation. We derive an exact expression for the risk premia for general distributions. Assuming growth rates are Normal Inverse Gaussian (NIG) and tting the distribution to the data used in Mehra and Prescott (1985), the coecient of relative risk aversion required to match the equity premium is more than halved compared to the nding in their article.