本論文是研究外匯市場中利差交易、動能交易以及價值交易因子間的關係以及其與流動性風險之關係，故先檢視在樣本期間內(1985/02至2017/08)，用高減低法將37國貨幣以各因子指標大小分為4個投組並計算出投組報酬，結果發現各因子都有顯著的超額報酬。另外，發現了動能交易與價值交易為負向關且顯著。
接著探討5種流動性風險因子是否能解釋利差交易、動能交易以及價值交易之超額報酬，以及上述的因子是否能解釋動能交易與價值交易之間顯著的負向關係，因此使用了簡單迴歸法來檢驗5種流動性風險因子與各因子之4個投組以及各投組報酬之間的關係，結果發現融資流動性風險指標較市場流動性風險指標來的顯著且當融資流動性風險上升時利差及動能交易的報酬會下降而價值交易的報酬會上升，本研究認為動能交易與價值交易之間的負相關可能是來自兩者與融資流動性風險指標之相反關係。最後使用Fama-Macbeth兩步驟回歸法評估其定價能力，結果發現不管是使用利差交易、動能交易或價值交易的投組去跑Fama-Macbeth兩步驟迴歸，融資流動性風險指標之定價能力都比市場流動性風險指標好。

This paper is research the relationship between factors and liquidity risks in the foreign exchange market. First, we use 37 currencies and factor indexes to build up four portfolios by High minus Low method in the sample period from 1985/02 to 2017/08.Then we find out each factor has significant excess return and the relationship between Momentum and Value factors is obviously negative.
Second, we explore if five liquidity risks can explain the excess returns in Carry trade, Momentum strategy and Value strategy factor. Otherwise, if the factors above can explain the negative relationship between Momentum factor and Value factor. So, we use the simple regression to testify those relations and find out that funding liquidity risk factors are more significant than market liquidity risk factors in the regression. When the funding liquidity risk falls, excess returns of Carry and Momentum factors will rise and excess return of Value factor will rise. In this study opinion, the negative relationship between Momentum and Value factors may be caused by their opposite relationship with funding liquidity risk.
In the end, we use Fama-Macbeth two-step regression to testify the asset pricing ability. We find out that the asset pricing ability of funding liquidity risk factor is better than market liquidity risk factor regardless in every Fama-Macbeth two-step regression.

第一章 .緒論 1
第一節 .研究背景與動機 1
第二節 .研究目的 2
第三節 .論文架構與各章節簡介 2
第二章 .論文回顧 3
第一節 . 利差、動能、價值因子 3
第二節 . 流動性風險因子 4
第三章 .資料樣本選擇與研究方法 6
第一節 .樣本選擇 6
第二節 .投資組合及策略建立 11
第三節 .流動性風險因子選取與定義 17
第四節 .重大事件與流動性風險之關聯 20
第五節 .不好的事件對各交易因子之影響 27
第六節 .流動性螺旋 28
第四章 .流動性曝險 29
第一節 主成因分析 29
第二節 .流動性曝險 34
第三節 .各投組之流動性及其與市場流動性之敏感度 38
第四節 .Fama-Macbeth兩步驟迴歸 41
第五章 .結論 64
參考文獻 66

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