This study examines whether there is evidence of liquidity level and liquidity risk premium in the Madrid stock exchange, Milan stock exchange and Frankfurt stock exchange for the period 1/1/1999 to 1/3/2015. Also it focuses on the financial crisis period and on how did stocks behave based on their liquidity level and liquidity risk. Although theory suggests that illiquid stocks perform better than liquid assets and high liquidity risk stocks perform better than low liquidity risk stocks on average, my study does not confirm the theory. Finally, in the financial crisis period, stocks with high liquidity risk seem to perform worse than stocks with low liquidity risk.