A new representation of nonmarketable income is introduced. Using this representation and continuous trading, there exists a set of individuals who do not participate in the asset market and who consume at the rate of nonmarketable income derived from human capital. Because these individuals remain nonparticipants for a range of stochastic processes governing the nonmarketable income, consumption betas are not generally unique in value and the consumption capital asset pricing model does not obtain. The intertemporal capital asset pricing model remains valid, however, and asset market participants hold portfolios hedging changes in future nonmarketable income. Copyright 1988 by American Finance Association.