SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Figure 2
Intraday Short Selling
The sample includes 388 IPOs issued between January 1, 2005 and December 31, 2006 excluding closedend
funds. 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. Exchange
listing information is from CRSP. Short selling is a percent of total shares shorted on the offer day.
Trades are a percent of total shares traded on the offer day. Because all IPOs do not open at 9:30,
opening times are aligned and the first four hours of actual trading are captured in fifteen minute
increments (e.g., if trading opens at 11 am, this chart captures 11:00-3:00.)
Percent of Total on T+0
60%
50%
40%
30%
20%
10%
0%
0:00-0:15
0:15-0:30
0:30-0:45
0:45-1:00
1:00-1:15
1:15-1:30
Nasdaq Short Sales/Total Nasdaq Short Sales T+0
Nasdaq Trades/Total Nasdaq Trades T+0
NYSE & Amex Short Sales/Total NYSE & Amex Short Sales T+0
NYSE & Amex Trades/Total NYSE & Amex Trades T+0
1:30-1:45
1:45-2:00
2:00-2:15
2:15-2:30
2:30-2:45
2:45-3:00
3:00-3:15
Time Relative to Open in 15 Minute Increments
47
3:15-3:30
3:30-3:45
3:45-4:00
SEC_OEA_FCIC_002498