Amihud, Yakov and Haim Mendelson, "Liquidity, Maturity, and the Yields on U.S. Treasury Securities", Journal of Finance, Vol. 46, No. 4, (September 1991), pp. 1411-1425.
Abstract: The effects of asset liquidity on expected returns for assets with infinite maturities (stocks) are examined for bonds (Treasury notes and the bills with matched maturities of less than 6 months). The yield to maturity is higher on notes, which have lower liquidity. The yield differential between notes and bills is a decreasing and convex function of the time to maturity. The results provide a robust confirmation of the liquidity effect in asset pricing.