The article explores how the price of liquidity affects emerging market corporate bonds in the US. During the financial crisis, bid-ask spreads increased significantly. When market liquidity worsens, portfolios with illiquid bonds perform poorly. The study shows that there is a negative relationship between liquidity risk and expected returns, supporting standard theory. Portfolio characteristics and proxies for liquidity level also impact expected returns. Interestingly, US bonds exhibit a different pattern, with a positive price for liquidity risk when only market and liquidity risks are considered. However, when controlling for liquidity level proxies, the liquidity risk premium disappears for US bonds.