We develop and estimate a new asset pricing model to study how global institutional investment affects global and local risk premia in 38 markets. By investing across countries, institutional investors facilitate international risk-sharing between home-biased retail investors. This risk-sharing channel depends on the scope of institutional investors’ mandate, their risk bearing capacity and substitutability between securities from different countries. Securities earn a global market risk premium as well as an institutional local risk premium. In addition, securities that are not invested by institutions earn a retail local risk premium. The average annual institutional local risk premium is 2.76% in developed markets and 6.27% in emerging markets. The average annual retail local risk premium is 1.71% in developed markets and 2.65% in emerging markets. Higher firm-level global institutional ownership reduces the cost of capital in emerging markets.