The study looked at how liquidity risk affects stock returns in Australia. They found that liquidity risk, like how easily stocks can be bought or sold, impacts stock prices. This is true when looking at individual stocks, the overall market, and how they interact. The results show that liquidity risk plays a big role in stock returns, especially during market downturns. In bearish markets, liquidity risk is about eight times higher than in bullish markets. This means that when markets are doing poorly, liquidity risk becomes even more important for understanding stock prices.