32:1(2004),201–226AKDEF?GHIEJRST:YYYJELabc:C32,F30,G12?:,l,300101:(03)574-2420;:(03)571-5403;E-mail:jrchang@mx.nthu.edu.twl:NSCM90-2416-H-007-007,!,!"#$A%&DHVH:2004/03/2410:54AMpage:202gg"#$u'()*+d%eef2)*ABC"cdC&,-./'()OD01,oA*,stC")Dz-EFjG01+*)Cam/p0bel-l1(99)3'z,H-,()OD)*IJ,)*Kr-.LK"-(C3C4H,N3/4"x-u3C.4H,/+3M42$N+0,H,()OD)*12"-N+Qc5R,6O7P20-C34/0-V/,S$,C")D()stV9WCaXmpKbe:ll,19CH,34=Q/96YQ+T;-')ZD'(3)4s<t5V+KS8xUV,"-Csta>,,6x?;0-C34/0-V'Pa>7@BC+S8,ap-0()KC34,'3D4EbeCQMc0az34PDeE"f-pgCh3N47'gD+ELde0-DHVH:2004/03/2410:54AMpage:2039:;<=>?@[\]^_`1.eO!)iP"#*+G$,j-klW,#m%&'$j(ni"$o1Yep.ni")i"(K'#/0,.45xS(dw,6qrOstPO2u,vwZY3%.Xze(+,i7.ni"#y8TU.ni"T"((Z}b~9:vPTUW({|+Jorion1990riskexposure+ChoiandPrasad"1@995%6(1978–T89(+;,8<(=>?%60%(.niChowetal.1997'7P(+HeandNg(1.998n;i"819879–93(RT,817}1B~+>-(.ni"?,%2,i"v?5%T{|QFCCD-Q+?+mn,%.&mnN?TU8&(Solnik1974YStulz1981)AdlerandDumas1983?PTU8&mn?(+EG,8&(,?8Vpur?ch?asi4ngFpow+erparity,PPP?#p+-,TUXz,?,FersonandHarveyU1993YDumasandSolnik199545DeSantisandGerard1998'eTCC88&(+F?fG<(O(QWk!?a?IQ-?H,W!bO?<U(S+!%!HW,<Merton1973-mnk-?I?J8G,r4GFV1MLmRn(?+mGn!??-sWmnI",arbitragep?ri)cinIgtheory?,A+PT,Merton1973E!#$e(N?mnv?mn(R/n%+<!,C&ampbEel%l1499O3'#L$eMerPton1973,6(?JOPHQ'4$8mRn/?n??%,R)eu9*+Q?,wx?,QS!?(H'+203DHVH:2004/03/2410:54AMpage:20432:1(2004)nCC?>.X4niCa"mpRbe?ll/19S93((X-/.+,84--2JN?m,0()QW(?H'1()O,UQ4W(?H'+YL,Z,.ntFHW!2QIQ?i"YLm%>)(,3Campbell1993mn?(WX?>WX)(?WX+E[MU,!?.ni"(O*+4,3T?[MOS!>)CUUQu+C,6E4@9(\q!??>8-mnJ(,+?(,3mnQ?47G5(J+fG,3G+stO,,6(Q4?.n(QW*QWR#]f.n(i?",G+e-6(O??,>[?(,>X?WX?>WX)-W2X,Q6J(+]3^QW4G7.n(i"YLmQ%4>)(j+8>IY45,0>Y7+fNIQ