We analytically find a new source of illiquidity risk in Merton (1973)’s intertemporal CAPM, which is the covariance between stock returns and state variables, expanding Acharya and Pedersen (2005). Using two stock market risk factors and two bond market risk factors as state variables to capture a shift in the investment opportunity set, we find that the new illiquidity risk is priced. After controlling the new illiquidity risk, Acharya and Pedersen (2005)’s two illiquidity risks are not priced anymore.