SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

on periods during the tech bubble. Trading volume on the offer date is over 50% of the shares
offered (similar to that found in Ellis, Michaely, and O’Hara (2000) and Corwin, Harris, and
Lipson (2004)) which is much greater than the average trading volume on a given day for an
individual stock.
b. Short Selling
To examine whether short selling is present in the immediate aftermarket of trading in IPOs,
we collect information on transactions involving short sales for the first month of trading from
the Regulation SHO pilot data. The data is compiled from the following exchanges and SROs:
Amex, Arca Exchange, Boston Stock Exchange, Chicago Stock Exchange, NASD, Nasdaq,
National Stock Exchange, NYSE and Philadelphia Stock Exchange. The data includes ticker,
time and date of trade, quantity and price but does not include trader identity. Individual short
sale transactions are then aggregated into daily short sales for each IPO. 15
All but two IPOs in our sample have short sales on the offer day. As shown in Table 1, Panel
C, short sales comprise 12% of the trading volume and over 7% of the shares offered. 16 Figure 1
presents the distribution across IPOs of short selling on the offer day as a percent of the shares
offered. While the majority of IPOs have short selling between 0 and 10% of shares offered, a
quarter of the IPOs in the sample have short selling in excess of 10% with a maximum of over
15 The short selling data used in this paper does not include any overallocation or overallotment of shares by the
underwriter (or syndicate members) in connection with an offering. Only market short sale transactions are included
in the data.
16 There is no adjustment to volume between NYSE and Nasdaq IPOs.
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