SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

# of Security Days with Some Reported Activity in Form SH
50,000
45,000
40,000
35,000
30,000
25,000
20,000
15,000
10,000
5,000
0
0
0-5
5-10
10-15
Form SH Reported Volume as a Percent of Total Daily Volume
and Next Day Returns
December 2008
15-20
20-25
25-30
30-35
35-40
40-45
45-50
50-55
55-60
Form SH Reported Volume as a Percent of Total Daily Volume
Significant Negative Return - Next Day Typical Return - Next Day
Significant Positive Return - Next Day % of Security Days with Significant Next Day Negative Return
60-65
65-70
70-75
75-80
80-85
85-90
90-95
95-100
100+
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
% of Security Days with Significant Next Day Negative Return