The study looked at how the cost of buying and selling assets, along with how markets are divided, affect the prices of investments. They found that freely traded assets have higher prices because of liquidity and global market risks, while assets only available to some investors also have local market and liquidity risks. In 24 emerging markets, the cost of liquidity is more important than liquidity risks. Local liquidity risks are small, but global market liquidity risks increase a lot during crises and market downturns.