SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report DRAFT 9/14/2006
Table 8: Returns around the May 2, 2005 Start of the Pilot
This table shows the returns surrounding the May 2 initiation of the pilot. The raw returns are equally-weighted
averages of the returns for each stocks, as collected from CRSP. The Cumulative Returns are set to be zero on the
day prior to the start of the pilot. The Cumulative returns represent the compounded returns on an investment made
at the April 29 closing price. * indicates that the control stock returns are statistically different from the pilot stock
returns at the 5% significance level in a two-tailed test. None of the returns are statistically different at the 1% level.
Panel A: Listed Sample Stocks
Panel B: Nasdaq Sample Stocks
Daily Returns Cumulative Returns
Date Pilot Control Pilot Control
April 18 0.005 0.007 0.007 0.015
April 19 0.012 0.011 0.019 0.025
April 20 -0.015 -0.015 0.003 0.009
April 21 0.019 0.018 0.021 0.026
April 22 -0.009 -0.011 0.011 0.015
April 25 0.010 0.011 0.021 0.026
April 26 -0.010 -0.012 0.010 0.013
April 27 0.000 -0.001 0.009 0.011
April 28 -0.016 -0.016 -0.007 -0.006
April 29 0.008 0.006 0.000 0.000
May 2 0.007 0.009* 0.007 0.009*
May 3 -0.001 -0.001 0.005 0.008
May 4 0.015 0.016 0.020 0.024
May 5 0.000 0.001 0.020 0.025
May 6 0.002 0.001 0.022 0.026
May 9 0.010 0.008 0.032 0.034
May 10 -0.012 -0.010 0.020 0.024
May 11 0.001 0.002 0.021 0.026
May 12 -0.015 -0.014 0.006 0.011
May 13 -0.010 -0.010 -0.003 0.001
May 16 0.013 0.014 0.010 0.015
Daily Returns Cumulative Returns
Date Pilot Control Pilot Control
April 18 0.006 0.007 0.019 0.017
April 19 0.016 0.018* 0.035 0.035
April 20 -0.018 -0.018 0.015 0.016
April 21 0.025 0.026 0.039 0.041
April 22 -0.018 -0.019 0.019 0.020
April 25 0.009 0.010 0.027 0.030
April 26 -0.012 -0.016* 0.014 0.013
April 27 0.001 0.001 0.014 0.012
April 28 -0.021 -0.019 -0.009 -0.008
April 29 0.009 0.009 0.000 0.000
May 2 0.008 0.009 0.008 0.009
May 3 0.001 0.001 0.008 0.010
May 4 0.019 0.020 0.027 0.030
May 5 0.000 0.001 0.027 0.031
May 6 0.001 0.000 0.028 0.031
May 9 0.012 0.012 0.040 0.043
May 10 -0.012 -0.013 0.028 0.030
May 11 0.001 -0.001 0.029 0.029
May 12 -0.008 -0.009 0.020 0.020
May 13 -0.004 -0.005 0.016 0.015
May 16 0.015 0.016 0.032 0.031
Prepared by the Office of Economic Analysis 68
DRAFT