This study examines whether liquidity is priced in the Vietnamese stock market. We show that stock liquidity is an important factor that should be taken into consideration in pricing stock returns. Explaining power of asset pricing models is improved after the inclusion of liquidity factor. In addition, while Fama and French's (1993) three factors are significant in the Vietnamese stock market, Carhart's (1997) momentum factor has very little effect. We also document that among various competing asset pricing models, the liquidity four-factor model which includes market excess return, size, value and liquidity factor is the best model in the Vietnamese stock market. The results are robust to different measures of liquidity, as well as to both up- and down-market conditions.