SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report 2/12/2007
Table 20: Changes in Daily Return Variance 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:
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Variance (Daily Return) = α + β Pilot × Decile + β Pilot + β Pre Variance (Daily Return)
i ∑
k = 1
k i ki 10 i 11
i
Reported is the average sum of β10 + βk multiplied by 10 4 . The dependent variable is the daily return variance. 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 7.529** 3.240* 0.720 -0.655
2 0.751 0.070 -1.093 -1.303
3 0.992 0.709 -1.081 0.146
4 0.332 2.713* -0.971 1.711
5 0.061 -1.503 -0.556 0.632
6 -0.260 0.798 0.154 2.653
7 -0.146 -1.623 -0.052 -0.452
8 -1.452* -1.965 0.449 2.513
9 -1.243* -3.131 0.366 -0.173
Highest -1.775** -3.596 0.137 -0.391
PrePilotControl 0.179** 0.419** 0.206** 0.433**
Average R 2 0.161 0.129 0.126 0.122
Prepared by the Office of Economic Analysis 81