This paper measures the effects of local market liquidity on asset prices. It offers a framework for decomposing asset prices into cash-flow and market liquidity effects. Furthermore, we test for prime, secondary, and regional market differences, it also tests for the lower-end and upper-end price market. For this, we use transaction-based data for office markets in the Netherlands over 1990-2011. The results reveal that market liquidity increases asset prices by approximately 0.8 to 7.0 percent. The market liquidity effect is much more modest in the secondary and regional market compared to the prime market. The market liquidity effect is the strongest on the upper-end of the real estate market and the weakest for the lower-end market.