SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report 2/12/2007
Table 22: Six Month Market Model In-Sample Alphas 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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Alpha = α + β Pilot × Decile + β Pilot
i ∑ k i ki 10 i
k = 1
Reported is the average sum of β10 + βk. The dependent variable is in-sample alpha estimated for each stock based
on the market model. The market model alpha was estimated over the six month period from May 2, 2005 to
October 31, 2005 by regressing the daily stock returns on the daily market return, which is represented by the CRSP
equally-weighted index returns. 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. None of the numbers presented
below are significant at the 5% or 1% level.
Market Capitalization Turnover
Listed Nasdaq Listed Nasdaq
Decile
Lowest -0.06% 0.08% -0.03% -0.03%
2 -0.10% -0.02% -0.03% 0.02%
3 -0.05% -0.05% 0.00% 0.00%
4 -0.02% -0.08% -0.03% 0.05%
5 -0.03% 0.02% 0.01% -0.02%
6 0.01% -0.01% -0.01% 0.04%
7 -0.03% 0.00% -0.02% -0.02%
8 0.02% -0.02% -0.01% -0.06%
9 -0.01% 0.01% -0.02% -0.02%
Highest 0.02% 0.00% 0.05% -0.02%
Average R 2 0.011 0.012 0.005 0.006
Prepared by the Office of Economic Analysis 83