Concern for the social objective of an efficient financial system led several researchers durnng the 1960's to study economies of scale in financial intermediation. These studies were used to draw inferences regarding an optimal structure of financial institutions. Today, there is added reason for the concern for the social cost of providing financial intermediary services. Since 1966, deposit rate controls have been extended to savings and loan associations as well as other thrift institutions whereas the Banking Act of 1933 had previously extended these controls to commercial banks.

Purpose. The purpose of this paper is to examine the rate-of-return characteristics and risk-return relationships of low-priced, highly speculative securities and to compare these with those of so-called higher-quality issues. The capital asset pricing model is used as a framework for conducting this analysis.

The shareholder equities of most construction lending Real Estate Investment Trusts (REITs) have been rapidly eroded by massive losses. Some trusts, however, have maintained a reasonable degree of stability. Our objective was to statistically analyze variations in the stability of shareholder equity to obtain insights into the operation of the REITs and to suggest possible causal relationships for their lower overall performance.

Sharpe, Jensen and Treynor composite measures are generally employed to measure the performance of a portfolio (or mutual fund). Friend and Blume [FB] have regressed the composite performance measure of random portfolios on the systematic risk (and standard deviation) to show that there exists strong bias in these composite performance measures. Employing actual mutual fund data, Klemkosky claims to have shown that the bias associated with composite performance measures using the semi-standard deviation and mean absolute deviation as risk surrogates is much smaller than that of the Sharpe, Jensen, and Treynor composite measures. Miller and Scholes have pointed out that both the functional form and skewness effect can affect the risk-return relation in capital asset pricing. Lintner has argued that the variance-return instead of the standard deviation-return relation is linearly related. However, one has never formally tested whether the functional form employed in investigating the risk-return relation is independent of different statistical risk proxies used. Furthermore, the impact of the skewness effect on the ex-post risk-return trade-off test has not been carefully investigated.

The purpose of this study was to test empirically the risk and return relationships for a mean-variance (E-V) and a mean-semivariance (E-S) capital asset pricing model (CAPM). To date, virtually all empirical work has focused on the Sharpe-Lintner [28,17] E-V model. In the E-V model, the risk of an efficient portfolio is measured by the standard deviation of return, σp. For individual securities, the appropriate measure of risk is the covariance of return on the security and the market portfolio. The E-V model states that the expected return of any security or portfolio equals the risk-free rate of return plus a risk premium that is η times the difference between the expected return on the market portfolio and the risk-free rate of return, i.e.,

where the tildes denote random variables, and

= expected rate of return on security i,

Rf = risk-free rate of return,

= expected rate of return on the market portfolio, and

.

The prime purpose of the paper is to investigate the portfolio building implications of government transfers. Some general comments are also made with regard to human capital payments. As such this paper can be seen as a generalization and further simplification of the work by Mayers.

The challenge of leadership is to look beyond the current expansion to consider the long–term outlook for the U. S. economy. My good friend Paul W. McCracken once described this process as looking across the valley to see what is on the other side. His message was: “What will be different on the other side of the valley is far more relevant to business planning than the valley itself.” Such advice is particularly meaningful at this time because of the basic need for more stability in our economic policies.

Employing a stochastic scenario approach and the capital asset pricing model, this study examines the position of shareholders in a hypothetical (modal) savings and loan association (SLA) holding a variable-rate mortgage (VRM) portfolio relative to the position of shareholders in an association holding fixed-rate mortgage (FRM) instruments. Because of the impossibility of accurately forecasting interest rates far into the future, the scenario approach was utilized to compare the two mortgage forms under simulated rising, falling and zero trend interest rate environments over a 30-year amortization period. Each scenario was generated by randomly selecting values from a distribution of first differences extracted from historical values of the Federal Home Loan Bank Average Cost of Funds Index.

As the westward movement gained momentum after the Civil War, the demand for farm mortgage credit grew rapidly. At the same time, the supply of lendable funds in the East and especially in Europe, although continuing to grow, turned away from U.S. government securities and American railroad bonds. The time seemed ripe for Eastern capitalists to expand their non-bank financial services to include intermediation between lenders and borrowers. Using the United States Mortgage Company and the Mercantile Trust Company as examples, Mr. Brewer shows that the opportunity was lost due to poor organization and management, faulty communication, and most of all to an innate conservatism and mistrust of the unfamiliar that caused the companies to disapprove the bulk of the mortgage loan applications that energetic field agents brought in.