SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Reg SHO Pilot Report 2/12/2007
Table A.2: Comparison of Results
Study Alexander and Peterson (2006) Diether, Lee, and Werner
Short Selling No significant impact on short
sale volume for either NYSE or
NASDAQ.
NYSE: Pilot stocks had a higher
number of short sales trades and
a lower average short sale trade
size.
NASDAQ: No impact on number
of short sales trades or average
short sale trade size.
Liquidity NYSE: larger spreads, smaller
quoted ask depth, smaller quoted
bid depth, higher price impact
NASDAQ: larger spreads
No effect on effective spreads
(2006)
Higher relative short sale
volume.
NYSE: higher number of
short sale trades
No impact on the number of
NASDAQ short sale trades.
No impact on NASDAQ
stocks.
NYSE: Larger quoted,
effective, and realized
spreads, smaller quoted ask
depth, higher relative bid
depth, smaller buy
imbalances.
Wu (2006) SEC
Examines only short selling
on the NYSE
Relative short selling
increases for pilot stocks.
Significant for small stocks
but not large stocks.
Relative effective and quoted
spreads increase with pilot by
< 1 bps. This is statistically
significant only for small
stocks.
Smaller buy imbalances
across all market cap groups.
Offer depth declines for most
size groups.
Prepared by the Office of Economic Analysis 87
Higher short sale volume and a
higher number of short sale
trades. No impact on short
interest or days to cover. No
impact on option trading
volume or open interest.
Trading is more balanced for
pilot stocks.
The increase in short selling is
bigger for small stocks.
Listed: smaller quoted ask
depth in univariate and
regression.
Regression shows decrease in
both bid and ask. Some tests
show small increases or
decreases in realized liquidity.