SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Smith, Kathrin
From: Bisiere, Christophe
Sent: Friday, June 30, 2006 8:33 AM
To: McCormick, Tim; Mayhew, Stewart
Subject: squeeze -- preliminary results
Attachments: NumInList_All.gif; NumInList_Amex.gif; NumInList_Arcaex.gif; NumInList_Nasdaq.gif;
NumInList_Nyse.gif; NumInList_Others.gif; NumDaysInList.gif; DailyFailPct.gif;
DailyFailPct.pdf; RunLength.pdf; Transitions.pdf; Seq.pdf
NumInList_All.gif NumInList_Amex.gifNumInList_Arcaex.
gif
NumInList_Nasdaq.
gif
DailyFailPct.gif DailyFailPct.pdf RunLength.pdf Transitions.pdf Seq.pdf
Here are my preliminary results.
Time period: Fev 2005-Dec 2005
1
NumInList_Nyse.gifNumInList_Others.g NumDaysInList.gif
if
Stewart, Tim,
1) Results that do not require to identify securities (data=all threshold data)
NumInList_*.gif: daily time series of the number of securities in the threshold list
2) Results that require to identify securities (done by Permno) (data=identified
securities in threshold and fail data, which restrict us to nyse/amex/nasdaq)
NumDaysInList.gif: how many days a security spent in the threshold list over the sample
period
DailyFailPct.*: daily average fails in % of outstanding shares (when fails > 0)
RunLength.pdf: stats on the length of a "run" of contiguous business days spent in the
threshold list
3) Analyse of a possible price effect
(requires matching CRSP data)
Transitions.pdf: Beta Excess Return (source=CRSP) cond. on transition in/out of the list
Seq.pdf: Beta Excess Return after a big increase in fails for a threshold security,
from day 0 (day of the increase) to day 16 after the increase, for 5 definitions
of "big". Sequences are clean (no overlaps). It does not show clear
evidence of squeeze (however, there is a weak positive price impact on day 11/12).
I did the same computation for trade volume and turnover, but did not find any effect.
I am taking a day off today, and will be back on Monday. I am looking forward to discuss
all these with you.
Have a great week end.
Christophe
SEC_OEA_FCIC_001834