We document a striking fact: While gross trading volume has quintupled over the past four decades, net volume -- trading from persistent portfolio reallocations, which excludes transitory round-trip trades -- has remained largely unchanged. We argue that the increase in transitory round-trip trades comes primarily from high-frequency intermediation, which has improved high-frequency liquidity but has not materially changed the market liquidity over the long term. Thus, while markets have become considerably more liquid at short horizons, long-term liquidity measures, such as the quarterly price impact and mean reversion, have remained largely unchanged over time. Using various instruments, we further demonstrate that net volume is the appropriate measure of liquidity at a given horizon and that it substantially outperforms gross-volume-based liquidity measures in explaining both the cross-section and time-series of long-term price impact and expected returns.