SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report DRAFT 9/14/2006
Table 14: Changes in Short Selling Activity Across Market Cap and Turnover Deciles
This table shows the marginal effect of the pilot derived from the coefficients from the following daily crosssectional
regressions:
9
Short Selling Volume = α + β Pilot × Decile + β Pilot + β Pre Short Selling Volume
i ∑ k i ki 10 i 11
i
k = 1
Reported is the average sum of β10 + βk. The dependent variable is the number of shares sold short on a day divided
by the total volume on that day. The regressions are estimated on each day during the Pilot Period. The statistical
significance of the coefficients is determined by the distribution of the coefficients. We divide the stocks into
deciles by market cap on May 2, 2005 and by the pre-Pilot turnover where decile 1 contains the smallest stocks and
lowest turnover stocks. **,* indicates that the effect is statistically different from zero at the 1 and 5% level in a
two-tailed test.
Market Capitalization Turnover
Listed Nasdaq Listed Nasdaq
Decile
Lowest -0.26 -1.55** 2.84** 1.44**
2 4.83** 1.68** 2.84** 1.17**
3 1.92** 1.64** 1.45** 1.21**
4 4.38** 1.80** 2.39** 1.91**
5 3.23** 3.23** 1.12** 2.09**
6 3.87** 2.46** 2.57** 1.53**
7 3.36** 3.90** 2.03** 2.12**
8 0.89** 1.03** 1.00** 2.08**
9 1.27** 2.47** 1.61** 1.17**
Highest 0.05 1.28** 3.50** 1.93**
PrePilotControl 0.59** 0.64** 0.60** 0.67**
Average R 2 0.10 0.09 0.10 0.09
Prepared by the Office of Economic Analysis 75
DRAFT