SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report DRAFT 9/14/2006
May 2, 2005 are not included in the analysis. Pilot stocks with listing changes during the Pilot
are included in our analysis up until the date of the listing change even though they are still in the
Pilot..
The stocks in the control sample come from the remainder of the 2004 Russell 3000 not
included in the Pilot. We do not include the stocks with initial public offerings after May 2004
because these stocks were not eligible to be selected for the Pilot. Like the pilot sample, the
control sample stocks can experience corporate events that make tracking them difficult. We
keep track of ticker symbol changes, listing changes, and mergers using the daily symbol
directories from the Nasdaq Trader web site and using Bloomberg. As with the pilot sample, we
include only the control stocks that survive until May 2, 2005 and include stocks that are
subsequently delisted up until the delisting date.
Table 1 reports the sample sizes and breaks down the sample in various dimensions. As
the table indicates, our sample contains 504 listed pilot stocks and 973 listed control stocks that
are subject to Rule 10a-1 and 439 Nasdaq pilot stocks and 917 Nasdaq control stocks that are
subject to NASD Rule 3350. Table 1 also indicates that roughly 70% of Listed Stocks and 63%
of Nasdaq NM Stocks have listed options. Because listing affects the short sale rules applied to
trading, we report results for each of these sub-samples but not for the full sample. If an issuer
switches its listing from Nasdaq to Amex or NYSE or vice versa after May 2, we keep that stock
in the sample up until the day of the listing change. If an issuer changed its listing prior to May
2, it will be grouped according to its new listing and we include pre-period data only from that
same listing. 46 Listings changes between Amex and NYSE do not affect our sample because the
change does not affect the short sale rule applied.
46 We exclude one stock that changed its listing on the first day of the pilot, Renasant Corporation RNST, formerly
Peoples Holding Company, PHC.
Prepared by the Office of Economic Analysis 23
DRAFT