SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

3. Data and Summary Statistics
a. IPO Sample
The sample of IPOs and their offering characteristics is from Securities Data Corp. (SDC)
from January 1, 2005 through December 31, 2006. The sample period, beginning January 2005,
is chosen because it begins after the implementation of Regulation SHO and is associated with
the public release of the Regulation SHO Pilot data which contains short selling transaction
information. In order for an IPO to be included in the final sample, we require that the IPO have
prices on CRSP, preliminary offer prices in SDC and no prior trading history. 13 After excluding
closed-end funds, the final number of IPOs in the sample is 388. 14
Table 1, Panel A presents initial statistics on the IPO sample. On average, the mean offer
amount is $188 million. The sample has a negative change in offer price of -4.18% indicating a
relatively conservative IPO market. The change in offer price is defined as the percent
difference between the offer price and the mid-point of the original preliminary offer price filing
range noted in SDC (Hanley (1993)). Approximately 39% of IPOs have offer prices above the
midpoint of the preliminary offer price range and 48% have offer prices below the midpoint.
Panel B of Table 1 presents summary statistics on the first day return and trading volume.
Like Aggarwal and Conroy (2000), most of the first day return occurs at the open. The mean
first day return is 9.07% and the time period covered by this study is characterized by somewhat
lower levels of average first day returns than other studies on short sale constraints which focus
13 CRSP®, Center for Research in Security Prices. Graduate School of Business, The University of Chicago. Used
with permission. All rights reserved. crsp.chicago.edu
14 We did remove one IPO with an excessively high level of both short selling and failures to deliver, because it
appears to be an outlier. This IPO had twice the level of short selling and fails to deliver as the next highest IPO.
The inclusion of this one outlier affects the results.
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SEC_OEA_FCIC_002460