This paper investigates the effect of liquidity risk on asset returns in an emerging market, Borsa Istanbul, under the LCAPM framework. The results suggest that including illiquidity betas to the CAPM model contribute the explanation power of systematic risks on asset returns. We employed the classical two stage procedure in order to test the significance of three illiquidity betas as well as the market beta on excess returns. The results about the significance of the assets' liquidity commonality with the market and the covariance between assets' liquidity and market returns present the importance of these illiquidity betas as significant risk factors on asset returns. On the other hand, assets' return sensitivity to the market liquidity has a positive and significant effect on the asset returns, although it is expected to be negative according to the theory. Copyright (C) 2019, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V.