This paper studies the risk-free rate in an overlapping generations economy with bequests. It is shown that the risk-free rate depends on risk aversion, the elasticity of intertemporal substitution, the share of wealth invested in human wealth, life expectancy, and the preference for bequests. In a standard life-cycle context, mortality increases the subjective time rate of discount, and thus increases the compensation required to postpone consumption. This latter effect is offset in a bequest-driven model of the type considered here, leading to much more powerful income effects. In this sense, the model provides a bequest-motive explanation for the risk-free rate puzzle put forward by Weil in 1989.