I analyze how a security’s cash-flow rights and economic conditions shape its secondary-market liquidity. I develop a competitive bid–ask model with asymmetric information that has a unique equilibrium for a broad class of fundamental distributions and payoff functions, including nonlinear payoffs with flat regions. Separating payoff functions from fundamental distributions allows comparisons across securities and economic conditions. Positive location shifts of the fundamental distribution weakly improve liquidity for concave payoffs and weakly reduce it for convex payoffs. Monotone mean-preserving increases in fundamental risk reduce liquidity for both. For a given fundamental distribution and probability of informed trading, steeper security families have weakly wider spreads at the same expected payoff. Among admissible securities with limited liability and the same expected payoff, debt minimizes both the spread and the discount incurred by an investor who must sell.