SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report 2/12/2007
Table 17: Changes in Bid Depth 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
Bid Depth = α + ∑ β Pilot × Decile + β Pilot + β Pre Bid Depth
i k i ki 10 i 11
i
k = 1
Reported is the average sum of β10 + βk. The dependent variable is the bid depth. 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 5.39** 2.02* -2.27** -5.44**
2 -3.23** -5.09** -8.32** -5.72**
3 -2.36** -5.24** -1.03** -6.11**
4 -2.07** -4.28** -0.38* -7.12**
5 -1.41** -5.14** -1.21** -4.16**
6 -7.74** 22.27** -0.16 -4.83**
7 -1.28** -4.19** -1.91** -8.99**
8 1.26** -8.31** 5.04** -12.96**
9 -0.49** 25.51** -1.20** -7.62**
Highest -1.06** -69.58** -1.11* 25.35**
PrePilotControl 1.16** 1.14** 1.16** 1.13**
Average R 2 0.82 0.75 0.82 0.75
Prepared by the Office of Economic Analysis 78