SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report DRAFT 9/14/2006
Table 9: Six Month Returns
The table summarizes tests of whether the six month returns of the pilot stocks differ from the six month returns of
the control stocks. The raw returns are compounded cumulative returns from CRSP. If a stock is not in the sample
for the entire six months, its return from its last day is compounded to six months. The market adjusted returns is
simply the raw return minus the CRSP equally-weighted index. The alpha is estimated in-sample by regressing the
raw return for a stock on the equally-weighted CRSP index return. A stock’s alpha is considered “negative” if it is
statistically below zero at the 5% level in a two-tailed test. Likewise, a stock’s alpha is considered “positive” if it is
statistically above zero at the 5% level in a two-tailed test. ** indicates that the control stock returns are statistically
different from the pilot stock returns at the 5% significance level in a two-tailed test.
Panel A: Univariate Differences
Panel B: Regression Tests
Variable Market Pilot Control Difference
Raw Return Listed 9.18% 11.56% -2.38%
Raw Return Nasdaq 14.21% 16.30% -2.09%
Market Adjusted Return Listed -2.10% -0.00% -2.07%
Market Adjusted Return Nasdaq 2.26% 4.01% -1.74%
Alpha Listed -0.05% -0.04% -0.01%
Alpha Nasdaq -0.04% -0.02% -0.01%
Negative Alpha Listed 5.56% 4.93% 0.60%
Negative Alpha Nasdaq 2.73% 1.53% 1.20%
Positive Alpha Listed 0.00% 0.92% -0.92%**
Positive Alpha Nasdaq 0.91% 1.20% -0.29%
Market Model Alpha = α + β Pilot
Variable Market Pilot R-squared
Alpha Listed -0.0001 0.009
Alpha Nasdaq -0.0001 0.005
Prepared by the Office of Economic Analysis 69
DRAFT