https://hagstromer.org/cv/https://hagstromer.org/wp-content/uploads/2016/06/istock_000003512168_webb.jpgStockholm cityhttps://hagstromer.org/wp-content/uploads/2016/06/mackinlay1.pngmackinlayhttps://hagstromer.org/wp-content/uploads/2016/06/mackinlay.pngmackinlayhttps://hagstromer.org/wp-content/uploads/2013/01/dscf5061.jpgDSCF5061Me test2026-02-03T09:44:05+00:00weekly0.6https://hagstromer.org/wp/2025-12-19T13:18:53+00:00weekly0.6https://hagstromer.org/other/2025-12-03T13:03:05+00:00weekly0.6https://hagstromer.org/2013/08/08/test/2025-10-30T12:31:41+00:00monthlyhttps://hagstromer.org/publications/https://hagstromer.org/wp-content/uploads/2019/02/just_before.jpgjust_beforehttps://hagstromer.org/wp-content/uploads/2013/01/abstractlink1.jpgabstractlinkhttps://hagstromer.org/wp-content/uploads/2013/01/abstractlink.jpghttps://hagstromer.org/wp-content/uploads/2013/01/linksmall1.jpglinksmallhttps://hagstromer.org/wp-content/uploads/2013/01/linksmall.jpgJBF linkhttps://hagstromer.org/wp-content/uploads/2013/01/link.jpgJBFThis paper implements a conditional version of the liquidity adjusted CAPM (LCAPM). The conditional LCAPM allows for a time-varying decomposition of the total illiquidity premium into a level component and three risk components. The estimated average annual total illiquidity premium for US stocks 1927-2010 is 1.74%-2.08%, which is substantially lower than in most previous studies. The contributions from illiquidity level and illiquidity risk are 1.25%-1.28% and 0.46%-0.83%, respectively. Of the three illiquidity risk components, risk related to the hedging of wealth shocks is the most important, while commonality risk is the least important. The illiquidity premia are clearly time-varying, with peaks in downturns and crises, but with no general tendency to decrease over time. 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