SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report DRAFT 9/14/2006
Table 21: May 2 Market Adjusted Returns 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
R = α + ∑ β Pilot × Decile + β Pilot
May2ikiki10 i
k = 1
Reported is the average sum of β10 + βk. The dependent variable is the return from the close of trading on April 29,
2005 to the close of trading on May 2, 2005. 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 5% level in a two-tailed test. None of the numbers presented below
are significant at the 1% level.
Market Capitalization Turnover
Listed Nasdaq Listed Nasdaq
Decile
Lowest -0.16% -0.45% -0.35% 0.48%*
2 -0.35% 0.00% -0.17% -0.06%
3 -0.20% -0.29% -0.43% 0.28%
4 0.08% -0.50% -0.42% 0.57%
5 -0.18% 0.72% -0.27% -0.97%
6 0.02% -0.24% 0.06% -0.06%
7 -0.01% -0.55% -0.31% -0.27%
8 -0.38% -0.19% 0.08% 0.14%
9 -0.41% -0.54% -0.17% -0.59%
Highest -0.47%* 0.05% -0.16% -0.81%*
Average R 2 0.006 0.006 0.006 0.008
Prepared by the Office of Economic Analysis 82
DRAFT