I develop a new asset pricing model where global institutional investors and local retail investors have non-overlapping investment opportunities. Institutional investors facilitate international risk-sharing between home-biased retail investors, which depends on their mandate, risk-bearing capacity, and substitutability of securities across countries. Securities earn a world market risk premium and an institutional local risk premium based on institutional risk aversion. Securities not held by institutions earn a retail local risk premium determined by retail investors’ risk aversion. The model is estimated using equity returns in 38 markets. The average annual institutional local risk premium is 2.76% in developed markets and 6.27% in emerging markets, while the retail local risk premium is 1.71% and 2.65%, respectively. Higher global institutional ownership lowers the cost of capital in emerging markets.