Human capital investment is significant for most individuals, while stock market participation is limited, especially early in life. Returns to human capital depend on individual traits and will, for some, dominate returns to stocks. We demonstrate that heterogeneity in human capital returns, when empirically disciplined, explains well why many do not invest in stocks, especially when young. Our results also suggest that it is short sales constraints on stocks, and not borrowing constraints, that limit engagement with the stock market.