The study investigates the relationship between liquidity and returns on a stock exchange in a frontier market. The paper applies three asset pricing models, including Capital Asset Pricing Model (CAPM), the Fama-French three-factor model, liquidity-augmented three-factor model. To measure the liquidity in the study, five measures: quoted spread, trading volume, trading value, Amihud measure, and turnover ratio were applied. The empirical research is carried out in 179 non-financial companies on the Ho Chi Minh Stock Exchange in Vietnam from 2011 to 2019. The study documents that liquidity is an essential source of effect on stock returns on the Ho Chi Minh stock exchange. Using the GRS-test, the models were compared and assessed. The result shows that the liquidity-augmented three-factor model with liquidity factor is the most significant model to capture the impact of liquidity on stock returns on the Ho Chi Minh Stock Exchange.