We introduce a novel economic indicator, named excess idle time (EXIT), measuring the extent of sluggishness in observed financial prices. Using a complete limit theory and formal tests, we provide econometric support for the fact that high-frequency transaction prices are, coherently with liquidity and asymmetric information theories of price determination, generally stickier than implied by the ubiquitous semimartingale assumption and its noise-contaminated counterpart. EXIT provides, for every asset and each trading day, an e↵ective proxy for the extent of illiquidity which is easily implementable using transaction prices only. When applied to the market, EXIT uncovers an economically-meaningful short-term and long-term compensation for illiquidity risk in market returns.