Are belief dynamics or risks and risk attitudes more important for asset pricing? Allowing both, I use survey data combined with subjective-belief versions of stochastic discount factor (SDF) volatility bounds to shed new light on this classic question. I estimate lower bounds for the volatility of the SDF attributable to (i) risks relevant for investor marginal utility, versus (ii) subjective belief dynamics. The estimates suggest that risks, particularly long-term risks, make up at least half of SDF volatility. An example extrapolation model with a modest direct contribution of beliefs to SDF volatility (about 25%) can account for my estimates. This example also highlights the potential for a novel mechanism, subjective risk, which is the indirect impact of beliefs on asset prices through induced marginal utility volatility.