We propose a consumption-based capital asset pricing model with state-dependent risk aversion. The corresponding risk premium includes consumption risk and the risk associated with variations in preferences. Our model can be estimated without specifying the functional form linking risk aversion with state variables. The estimates are based on Markov chain Monte Carlo estimation of exact discrete-time parameterizations for linear diffusion processes. We find estimates for relative risk aversion that are reasonable by usual standards, correlated with both consumption and returns, and indicative of an additional preference risk of holding the assets.