This paper investigates how concentrated ownership of capital in‡uences the pricing of risky assets in a production economy. The model is designed to approximate the skewed distribution of wealth and income in U.S. data. I show that concentrated ownership significantly magni…es the equity risk premium relative to an otherwise similar representativeagent economy because the capital owners’consumption is more strongly linked to volatile dividends from equity. A temporary shock to the technology for producing new capital (an “investment shock”) causes dividend growth to be much more volatile than aggregate consumption growth, as in long-run U.S. data. The investment shock can also be interpreted