Most of the empirical and theoretical work on liquidity and asset pricing focuses on the determination and quantification of the liquidity risk premium. During the last decade however, the interest of many researchers has been attracted by the risk of the liquidity risk premium. A negative relationship has been addressed between risk of trading activity and asset prices which is attributed mostly on the clientele effect. Our paper underlines this finding and provides a comparative analysis of the volatility of liquidity risk through an asset pricing framework considering several dimensions of liquidity such as transaction cost, trading activity and price impact. Our empirical findings are consistent with the literature and additionally provide evidence of a heterogeneity that is apparent with respect to the liquidity component under examination (i.e. transaction cost, trading activity and price impact) as well as to the risk metric which is adopted.