Delisting Flag We used Bloomberg to track if the “Corporate Action Calendar” function stock is delisted from any of the NYSE, NASDAQ or OTC market between Jan 1st, 2004 to Dec 31st, 2011. Stocks delisted from NYSE or NASDAQ usually relist to the OTC market, though they are counted as delisted in our paper 3 year floating shares as shares outstanding (A3y_SH_Floating_as_SH_OUT) 3 year short interest as shares outstanding (A3y_short_int_ _as_SH_OUT) 3 year PE (A3yr_PE) 3 year floating shares as percentage increase of 3 day (a3y_floating_as_3d_Floating) 3 year price-earnings ratio as percentage increase of 1y_ price-earnings ratio (a3y_PE_AS_of_1y_PE) Additionally, certain variables from the 3 day returns regression are included For this regression, the variables omitted due to collinearity are NASDAQ, A1yr_vol, and A1yr_vol_as_SH_OUT. The results of the regression are: Table 8 Regression Results for 3 Year Returns in Total Market Cap –
Delisting Flag We used Bloomberg “Corporate Action Calendar” function to track if the stock is delisted from any of the NYSE, NASDAQ or OTC market between Jan 1st, 2004 to Dec 31st, 2011. Stocks delisted from NYSE or NASDAQ usually relist to the OTC market, though they are counted as delisted in our paper 3 year floating shares as shares outstanding (A3y_SH_Floating_as_SH_OUT) 3 year short interest as shares outstanding (A3y_short_int_ _as_SH_OUT) 3 year PE (A3yr_PE) 3 year floating shares as percentage increase of 3 day (a3y_floating_as_3d_Floating) 3 year price-earnings ratio as percentage increase of 1y_ price-earnings ratio (a3y_PE_AS_of_1y_PE) Additionally, certain variables from the 3 day returns regression are included For this regression, the variables omitted due to collinearity are NASDAQ, A1yr_vol, and A1yr_vol_as_SH_OUT. The results of the regression are: Table 8 – Regression Results for 3 Year Returns in Total Market Cap