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SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

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Reg SHO Pilot Report 2/12/2007<br />

Table 22: Six Month Market Model In-Sample Alphas Across Market Cap and Turnover<br />

Deciles<br />

This table shows the marginal effect of the Pilot derived from the coefficients from the following daily crosssectional<br />

regressions:<br />

9<br />

Alpha = α + β Pilot × Decile + β Pilot<br />

i ∑ k i ki 10 i<br />

k = 1<br />

Reported is the average sum of β10 + βk. The dependent variable is in-sample alpha estimated for each stock based<br />

on the market model. The market model alpha was estimated over the six month period from May 2, 2005 to<br />

October 31, 2005 by regressing the daily stock returns on the daily market return, which is represented by the CRSP<br />

equally-weighted index returns. We divide the stocks into deciles by market cap on May 2, 2005 and by the pre-Pilot<br />

turnover where decile 1 contains the smallest stocks and lowest turnover stocks. None of the numbers presented<br />

below are significant at the 5% or 1% level.<br />

Market Capitalization Turnover<br />

Listed Nasdaq Listed Nasdaq<br />

Decile<br />

Lowest -0.06% 0.08% -0.03% -0.03%<br />

2 -0.10% -0.02% -0.03% 0.02%<br />

3 -0.05% -0.05% 0.00% 0.00%<br />

4 -0.02% -0.08% -0.03% 0.05%<br />

5 -0.03% 0.02% 0.01% -0.02%<br />

6 0.01% -0.01% -0.01% 0.04%<br />

7 -0.03% 0.00% -0.02% -0.02%<br />

8 0.02% -0.02% -0.01% -0.06%<br />

9 -0.01% 0.01% -0.02% -0.02%<br />

Highest 0.02% 0.00% 0.05% -0.02%<br />

Average R 2 0.011 0.012 0.005 0.006<br />

Prepared by the Office of Economic Analysis 83

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