Abstract
This study investigates the impact of liquidity risk on asset pricing within the US stock market, exploring the complex relationship between market liquidity and stock returns. The research examines how liquidity risk factors contribute to stock price variations by analyzing a comprehensive dataset spanning multiple market conditions. The study uses advanced econometric techniques and panel data analysis to reveal significant evidence of liquidity risk's substantial role in determining asset pricing mechanisms. The findings contribute to the existing financial literature by providing empirical insights into the nuanced interactions between market liquidity, risk premiums, and stock returns. Keywords Asset Pricing; Liquidity Risk; Stock Market; Financial Markets; Risk Premium; Market Efficiency Citation Rasool, F., Riaz, N., Afzal, M. &