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We use data on actual holding,periods for all investors in a stock market,over a 10- year period to investigate the links between holding periods, liquidity, and asset returns. Microstructure measures,of liquidity are shown,to be important,determinants,of the holding period decision of individual investors. We also find evidence that the average holding period is dierent,for dierent investor groups. Interestingly, we find that turnover is an imperfect proxy for holding period. Moreover, while both turnover and spread are related to stock returns, holding period is not. Our results suggest that the link between liquidity and asset prices found in numerous,empirical studies cannot be explained by models,such as Amihud and Mendelson,(1986) where investors merely want to be compensated,for exogenous,trading costs. Keywords: Market microstructure, Liquidity, Holding period

Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period