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SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

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Reg SHO Pilot Report DRAFT 9/14/2006<br />

Table 8: Returns around the May 2, 2005 Start of the Pilot<br />

This table shows the returns surrounding the May 2 initiation of the pilot. The raw returns are equally-weighted<br />

averages of the returns for each stocks, as collected from CRSP. The Cumulative Returns are set to be zero on the<br />

day prior to the start of the pilot. The Cumulative returns represent the compounded returns on an investment made<br />

at the April 29 closing price. * indicates that the control stock returns are statistically different from the pilot stock<br />

returns at the 5% significance level in a two-tailed test. None of the returns are statistically different at the 1% level.<br />

Panel A: Listed Sample Stocks<br />

Panel B: Nasdaq Sample Stocks<br />

Daily Returns Cumulative Returns<br />

Date Pilot Control Pilot Control<br />

April 18 0.005 0.007 0.007 0.015<br />

April 19 0.012 0.011 0.019 0.025<br />

April 20 -0.015 -0.015 0.003 0.009<br />

April 21 0.019 0.018 0.021 0.026<br />

April 22 -0.009 -0.011 0.011 0.015<br />

April 25 0.010 0.011 0.021 0.026<br />

April 26 -0.010 -0.012 0.010 0.013<br />

April 27 0.000 -0.001 0.009 0.011<br />

April 28 -0.016 -0.016 -0.007 -0.006<br />

April 29 0.008 0.006 0.000 0.000<br />

May 2 0.007 0.009* 0.007 0.009*<br />

May 3 -0.001 -0.001 0.005 0.008<br />

May 4 0.015 0.016 0.020 0.024<br />

May 5 0.000 0.001 0.020 0.025<br />

May 6 0.002 0.001 0.022 0.026<br />

May 9 0.010 0.008 0.032 0.034<br />

May 10 -0.012 -0.010 0.020 0.024<br />

May 11 0.001 0.002 0.021 0.026<br />

May 12 -0.015 -0.014 0.006 0.011<br />

May 13 -0.010 -0.010 -0.003 0.001<br />

May 16 0.013 0.014 0.010 0.015<br />

Daily Returns Cumulative Returns<br />

Date Pilot Control Pilot Control<br />

April 18 0.006 0.007 0.019 0.017<br />

April 19 0.016 0.018* 0.035 0.035<br />

April 20 -0.018 -0.018 0.015 0.016<br />

April 21 0.025 0.026 0.039 0.041<br />

April 22 -0.018 -0.019 0.019 0.020<br />

April 25 0.009 0.010 0.027 0.030<br />

April 26 -0.012 -0.016* 0.014 0.013<br />

April 27 0.001 0.001 0.014 0.012<br />

April 28 -0.021 -0.019 -0.009 -0.008<br />

April 29 0.009 0.009 0.000 0.000<br />

May 2 0.008 0.009 0.008 0.009<br />

May 3 0.001 0.001 0.008 0.010<br />

May 4 0.019 0.020 0.027 0.030<br />

May 5 0.000 0.001 0.027 0.031<br />

May 6 0.001 0.000 0.028 0.031<br />

May 9 0.012 0.012 0.040 0.043<br />

May 10 -0.012 -0.013 0.028 0.030<br />

May 11 0.001 -0.001 0.029 0.029<br />

May 12 -0.008 -0.009 0.020 0.020<br />

May 13 -0.004 -0.005 0.016 0.015<br />

May 16 0.015 0.016 0.032 0.031<br />

Prepared by the Office of Economic Analysis 68<br />

DRAFT

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