The study shows that expected stock returns are linked to how sensitive they are to changes in overall market liquidity. Stocks that are more affected by liquidity fluctuations tend to have higher returns compared to those less affected. This relationship held true from 1966 to 1999, with high liquidity-sensitive stocks outperforming low-sensitive ones by 7.5% annually. Additionally, a significant portion of profits from a momentum strategy during this period can be attributed to liquidity risk.