We report on the first frequency-dependent measurements of thermal effusivity of glass-forming liquids using the photopyroelectric (PPE) method. The advantage is higher modulation frequency capability than with previously reported methods. On the basis of our present results (up to 30 kHz), we find in the dispersion temperature region of glycerol a clear frequency-dependence of the real part and a non-zero, frequency-dependent imaginary part of the thermal effusivity, which is consistent with literature data. The experimental data reveal that the full exploitation of the high-frequency experimental results requires to take into account also the piezoelectric component of the signal caused by the thermoelastic response of the sample. The high-frequency limit of this PPE experiment may be extended by a modified cell design and by using another pyroelectric material instead of a lithium tantalate crystalline sensor.