We develop a general equilibrium model of asset prices in which the benefits of technological innovation are distributed asymmetrically. Financial market participants do not capture all the economic rents resulting from innovative activity, even when they own shares in innovating firms. Economic gains from innovation accrue partly to the innovators, who cannot sell claims on the rents their future ideas will generate. We show how the unequal distribution of gains from innovation can give rise to the salient empirical patterns in asset price behavior, including a high risk premium on the aggregate stock market, return comovement and average return differences among growth and value firms, and the failure of traditional representative-agent asset pricing models to account for these facts.