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Many more anhydrous lithium salts are hygroscopic (readily absorb water) compared to those of the other alkali metals because lithium salts tend to have a greater tendency to form hydrates (compounds with water molecules incorporated into their structures).
Lithium has a small ionic radius compared to the other alkali metals, which leads to stronger electrostatic attractions between the lithium cation and water molecules. This results in the formation of hydrates with lithium salts more readily than with other alkali metals. As a consequence, anhydrous lithium salts have a higher affinity for water and are more hygroscopic than the anhydrous salts of other alkali metals.