Amihud (2002) shows that expected market illiquidity has a positive impact on ex ante stock returns, while the reverse relation exists between unexpected illiquidity and contemporaneous returns, suggesting the presence of a priced risk factor. We replicate these findings in–sample, but the out–of–sample results largely lose their significance and monotonic properties in the time–series. This points to a decline in the sensitivity of investors to illiquidity risk over the last two decades, a period during which technological innovations and decimalization have markedly reduced transaction costs and increased stock liquidity. Altering the measurement frequency, refining the data filters and considering alternative test specifications leads to similar results. A cross–validation approach confirms a change point in liquidity occurring post publication of the seminal study. We also show that the findings pertaining to the employed illiquidity measure are driven by scaling the numerator of the ratio by the dollar–traded volume.