SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report DRAFT 9/14/2006
Table 18: Changes in Effective Spread 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
Relative Effective Spread = α + ∑ β Pilot × Decile + β Pilot + β Pre Relative Effective Spread
i k i ki 10 i 11
i
k = 1
Reported is the average sum of β10 + βk. The dependent variable is the relative effective spread. 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 14.01 2.48** 4.94 0.46
2 2.33 -1.83** -0.37 -3.32**
3 -2.30 0.29 -0.91 2.08*
4 0.24 -0.16 0.80 0.98
5 -1.40 0.32 -0.34 -0.24
6 -2.57* 0.80** 0.20 0.28
7 0.24 1.72** -1.74 1.03**
8 -0.32 1.89** 4.72* 0.30
9 0.53 2.04** -0.72 0.79**
Highest 0.52 2.92** -2.04* 3.30**
PrePilotControl 1.20** 1.12** 1.22** 1.13**
Average R 2 0.44 0.49 0.43 0.50
Prepared by the Office of Economic Analysis 79
DRAFT