SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Table 3
Regression Analysis on Offer Day Short Sales
The sample includes 388 IPOs issued between January 1, 2005 and December 31, 2006 excluding closed-end
funds. The dependent variable is the offer day short sales as a percent of the offer amount. Short sales are from
Regulation SHO Pilot data and compiled from the following exchanges and SROs: Amex, ArcaEx, Boston,
Chicago, NASD, Nasdaq, National, NYSE and Phlx, aggregated and then scaled by offer amount. Shares offered
are from SDC and exclude the exercise of the overallotment option. The first day return is from the offer price
from SDC to the first trading day opening price on CRSP. Change in offer price is the percent difference of the
final offer price from the midpoint of the preliminary offer price range in the prospectus. Volume is the daily
number of shares traded from CRSP. Price Supported IPO is a dummy variable equal to 1 if the first day return is
equal to zero or the IPO is in the bottom quartile of the percent of the overallotment option exercised collected
from Bloomberg or top quartile for the percent of trades, using TAQ, executed at the offer price on the first
trading day. Percent float is the ratio of shares offered from SDC to shares outstanding from CRSP. The ability
to execute is estimated using TAQ and measures the extent to which the Uptick Rule or Nasdaq Bid Test allows
short sales to execute. Nasdaq is a dummy variable equal to 1 if the IPO trades on either the Nasdaq, 0 if it trades
on the NYSE or the Amex. t-values are in parentheses. ***, **, * indicates significance at the 1%, 5% or 10%
levels.
Variable Model 1 Model 2 Model 3 Model 4
Intercept 0.056
(4.70)***
First Day Return from Offer Price to Open 0.188
(8.88)***
0.073
(6.41)***
Change in offer price 0.173
(9.90)***
-0.016
(-1.67)*
Volume T+0/Shares Offered 0.150
(21.49)***
Price Supported IPO 0.008
(1.17)
Float -0.005
(-1.37)
Ability to Execute T+0
-0.029
(-1.84)*
Nasdaq 0.022
(3.57)***
0.004
(0.55)
-0.008
(-2.30)**
-0.022
(-1.43)
0.033
(5.41)***
-0.002
(-0.50)
0.0004
(0.15)
-0.025
(-2.09)**
0.023
(5.05)***
0.075
(5.87)***
-0.023
(-3.40)***
-0.005
(-1.41)
-0.016
(-0.91)
0.028
(4.05)***
Adjusted R 2 0.23 0.25 0.58 0.07
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SEC_OEA_FCIC_002490