The paper studies liquidity risk's effect on balanced stock pricing.It shows that on the premise of liquidity being regarded as the compensation of stock returns,expected stock returns will relate with not only covariance risk but also stock's liquidity risk and market portfolio's liquidity risk.Liquidity is somewhat predictive for expected stock rewards.For the reason that portfolio's liquidity is durative,the present illiqudity stock will be illiqudity in the future,so its compensation of liquidity risk will be high,that is to say expected returns will be high.